✦ LIBER ✦
Stock markets as Minority Games: cognitive heterogeneity and equilibrium emergence
✍ Scribed by O. Brandouy
- Publisher
- Elsevier Science
- Year
- 2005
- Tongue
- English
- Weight
- 724 KB
- Volume
- 349
- Category
- Article
- ISSN
- 0378-4371
No coin nor oath required. For personal study only.
✦ Synopsis
Standard finance theory generally assumes homogeneous agents relatively to their preferences, heuristics and investment strategies. We propose to study, in an agent-based simulation, the emergence of equilibrium under various heterogeneous conditions. Market interaction is stylized with the Minority Game representation. It is shown that inductive rational equilibrium emerges even though agents do not share the same representations of the value. This may lead to consider again the roots of EMH and REH.