ASSET PRICE DYNAMICS AMONG HETEROGENEOUS INTERACTING AGENTS

摘要

In this paper, we investigated the presence of rational herding on assets price dynamics during the intra-day trading with heterogeneous interacting agents, whose information set is not complete. In the model, individual probability measure of financial investment strategies are defined using statistical mechanics concepts, and there is a learning process, toward the best strategy, implemented as a genetic algorithm. Simulations show that an imitative behavior can be a rational strategy, since it allows an investor to gain excess returns on an asset exploiting information regarding price dynamics not strictly contained in the fundamental solution. Herd behavior is rational, in the sense that it produces profits, at the expense of increasing the complexity of the system.