Herd behavior in Economics can be fruitfully represented by a generalization of the well-known Ehrenfest urn model to correlated clustering. The strategies of an agent in a stock market (planning to buy, to sell or to be inactive) are represented by three urns, and the accommodation of each agent in one of them is ruled by a random mechanism that may depend strongly on the behavior of the other agents. This mechanism is introduced in the "Genoa Artificial Stock Market".
Herd behavior in Artificial Stock Markets / U., Garibaldi; M., Raberto; Viarengo, Paolo. - (2002). ( 7th Workshop on Economics with Heterogeneous Interacting Agents Trieste 30-31/5-1/6/2002).
Herd behavior in Artificial Stock Markets
VIARENGO, PAOLO
2002
Abstract
Herd behavior in Economics can be fruitfully represented by a generalization of the well-known Ehrenfest urn model to correlated clustering. The strategies of an agent in a stock market (planning to buy, to sell or to be inactive) are represented by three urns, and the accommodation of each agent in one of them is ruled by a random mechanism that may depend strongly on the behavior of the other agents. This mechanism is introduced in the "Genoa Artificial Stock Market".I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
