Abstract: There is a wide literature about the behaviour of agents in a stock-market in the presence of imitation phenomena. Some issues may be treated in a game-theory context. In particular, we consider a micro-model of stock-market speculator and formalise it in a Stackelberg game. The problem consists in maximising the utility of two agents (called Leader and Follower) under the assumption that the latter also takes into account the Leader’s opinion on the future value of a stock. The results show new relations between the optimal policies of the two agents.

Mignanego, F., Modesti, P., Imitation, stock markets and Stackelberg games, <<INTERNATIONAL JOURNAL OF APPLIED MANAGEMENT SCIENCE>>, 2014; vol 6 n. 1 2014 (Febbraio): 84-97. [doi:10.1504/IJAMS.2014.059313] [http://hdl.handle.net/10807/56798]

Imitation, stock markets and Stackelberg games

Mignanego, Fausto;
2014

Abstract

Abstract: There is a wide literature about the behaviour of agents in a stock-market in the presence of imitation phenomena. Some issues may be treated in a game-theory context. In particular, we consider a micro-model of stock-market speculator and formalise it in a Stackelberg game. The problem consists in maximising the utility of two agents (called Leader and Follower) under the assumption that the latter also takes into account the Leader’s opinion on the future value of a stock. The results show new relations between the optimal policies of the two agents.
Inglese
Editorial Team Of IJMS Linda Brenna Professor RMIT University Melbourne, Australia Parves Sultan Senior Lecturer Central Queensland University, Australia Kasypi Bin Mokhtar Lecturer Universiti Malaysia Terengganu, Malaysia Taimur Sharif Assistant Professor ALHOSN University, Abu Dhabi, UAE Mubaraka Mike Conrad Senior Lecturer Kampala International University, Uganda Narendra Singh Bohra Assistant Professor Graphic Era University, Dehradun, India
Mignanego, F., Modesti, P., Imitation, stock markets and Stackelberg games, <<INTERNATIONAL JOURNAL OF APPLIED MANAGEMENT SCIENCE>>, 2014; vol 6 n. 1 2014 (Febbraio): 84-97. [doi:10.1504/IJAMS.2014.059313] [http://hdl.handle.net/10807/56798]
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10807/56798
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