Abstract

http://ssrn.com/abstract=2146989
 


 



Stock Prices in an Artificial Stock Market with Optimistic and Pessimistic Agents


Herbert Kimura


Mackenzie Presbiterian University

Fabiano Guasti Lima


University of Sao Paulo (USP)

Luiz C. J. Perera


Mackenzie Presbyterian University

Roberto Borges Kerr


Mackenzie Presbyterian University

September 14, 2012


Abstract:     
This research aims to investigate, through simulation models, how the interaction among agents in an artificial stock market can affect the dynamics of asset prices. Thus, the study follows a different methodology for the analysis of prices by exploring the simulation of agents’ behavior in an artificial stock market. From the defining characteristics of heterogeneous agents, we set up an artificial stock market in which individuals interact, by demanding and supplying assets, driving the price of a stock to an equilibrium value. The results suggest that, under the assumption of utility maximizers agents with different expectations about future dividends, asset prices may under-react. The gradual change of prices observed in the sub-reaction confronts the efficient market hypothesis, in which all information is instantly

Number of Pages in PDF File: 8

Keywords: artificial stock market, dynamics of asset prices, interaction of agents behavior

JEL Classification: C15, C22, C51, C58, C61, C63

working papers series


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Date posted: September 16, 2012  

Suggested Citation

Kimura, Herbert and Lima, Fabiano Guasti and Perera, Luiz C. J. and Kerr, Roberto Borges, Stock Prices in an Artificial Stock Market with Optimistic and Pessimistic Agents (September 14, 2012). Available at SSRN: http://ssrn.com/abstract=2146989 or http://dx.doi.org/10.2139/ssrn.2146989

Contact Information

Herbert Kimura (Contact Author)
Mackenzie Presbiterian University ( email )
Rua da Consolacao, 896 - 6o andar
01302-907 Sao Paulo
Brazil
+55 11 3236-8589 (Phone)
+55 11 3236-8600 (Fax)
Fabiano Guasti Lima
University of Sao Paulo (USP) ( email )
Rua Luciano Gualberto, 315
São Paulo, São Paulo 14800-901
Brazil
Luiz Carlos Jacob Perera
Mackenzie Presbyterian University ( email )
Rua da Consolação 896
São Paulo, São Paulo 010302907
Brazil
+55.11.21148273 (Phone)
+5511.21148836 (Fax)
HOME PAGE: http://www.jperera.pro.br
Roberto Borges Kerr
Mackenzie Presbyterian University ( email )
Rua da Consolação 920
São Paulo, 010302907
Brazil
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