PASCAL - Pattern Analysis, Statistical Modelling and Computational Learning

Artificial Agents and Speculative Bubbles
Yann Semet, Sylvain Gelly, Marc Schoenauer and Michele Sebag
In: CF'04: International Conference on Computational Finance & its Applications (PKDD-2004), Sep 2004, Pisa, Italy.

Abstract

Pertaining to Agent-based Computational Economics (ACE), this work presents two models for the rise and downfall of speculative bubbles through an exchange price fixing based on a double auction mechanism. The first model is based in a finite time horizon context where total expected divi- dends decrease along with time. The second model follows the greater fool hypothesis: an agent behaviour depends on the comparison of its estimation of risk with that of a virtual greater fool. Simulations shed some light on the influent parameters and the necessary conditions for the appearance of speculative bubbles in an asset market within the considered framework.

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EPrint Type:Conference or Workshop Item (Paper)
Project Keyword:Project Keyword UNSPECIFIED
Subjects:Learning/Statistics & Optimisation
ID Code:1536
Deposited By:Sylvain Gelly
Deposited On:28 November 2005

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