Modeling a large population of traders: Mimesis and stability

Journal of Economic Behavior and Organization

Volumn 61, Issue 4, 2006, Pages 562-576

  Omurtag, Ahmet ^a   Sirovich, Lawrence ^a  

^a MOUNT SINAI SCHOOL OF MEDICINE   (United States)

Author keywords

Collective decision making; Financial markets; Herd behavior; Mimesis; Stability

Indexed keywords

EID: 33751546685     PISSN: 01672681     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jebo.2004.07.016     Document Type: Article

References (35)

1. Arthur W.B., Holland J.H., LeBaron B., Palmer R., and Taylor P. Asset pricing under endogenous expectations in an artificial stock market. In: Arthur W.B., Lane D., and Durlauf S.N. (Eds). The Economy as an Evolving Complex System vol. 2 (1997), Addison-Wesley, Redwood City, CA
2. Bannerjee A. A simple model of herd behavior. Quarterly Journal of Economics 107 (1992) 787-818
3. Bikhchandani S., Hirshleifer D., and Welch I. Theory of fads, fashion, custom and cultural change as informational cascades. Journal of Political Economy 100 (1992) 992-1026
4. Cercignani C. The Boltzmann Equation and Its Applications (1988), Springer-Verlag, New York
5. Challet D., and Zhang Y.-C. Emergence of cooperation and organization in an evolutionary game. Physica A 246 (1997) 407-418
6. Chan, N., LeBaron, B., Lo, A.W., Poggio, T., 1998. Information dissemination and aggregation in asset markets with simple intelligent traders. MIT AI Lab Technical Memorandum 1646.
7. Cont R., and Bouchaud J.P. Herd behavior and aggregate fluctuations in financial markets. Macroeconomic Dynamics 4 (2000) 170-196
8. Cont R. Empirical properties of asset returns: stylized facts and statistical issues. Quantitative Finance 1 (2001) 223-236
9. Corcos A., Eckmann J.-P., Malaspinas A., Malevergne Y., and Sornette D. Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos. Quantitative Finance 2 (2002) 264-279
10. Cutler D.M., Poterba J.M., and Summers L.H. What moves stock prices?. Journal of Portfolio Management 15 (1989) 4-12
11. Diederich A. Dynamic stochastic models for decision making under time constraints. Journal of Mathematical Psychology 41 (1997) 260-274
12. Farmer, J.D., 2001. Agent-based models for Investment, Association for Investment Management Research.
13. Farmer J.D. Market force, ecology and evolution. Industrial and Corporate Change 11 (2002) 895-953
14. Gardiner C.W. Handbook of Stochastic Methods: For Physics, Chemistry, and the Natural Sciences (1994), Springer-Verlag, New York
15. Granovetter M. Threshold models of collective behavior. American Journal of Sociology 83 (1978) 1420-1443
16. Iori G. A microsimulation of traders' activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions. Journal of Economic Behaviour and Organization 49 (2002) 269-285
17. Kirman A. Ants, Rationality, and Recruitment. The Quarterly Journal of Economics 108 (1993) 137-156
18. Knight B.W. Dynamical models of interacting neuron populations. In: Gerf E.C. (Ed). Symposium on Robotics and Cybernetics: Computational Engineering in System Applications (1996), Cite Scientifique, Lille, France 185-189
19. Knight B.W. Dynamics of encoding in neuron populations: some general mathematical features. Neural Computation 12 (2000) 473-518
20. Kuramoto Y. Collective synchronization of pulse-coupled oscillators and excitable units. Physica D 50 (1991) 15-30
21. Lux T., and Marchesi M. Scaling and criticality in a stochastic multi-agent model of a financial market. Nature 397 (1999) 498-500
22. Lux T., and Marchesi M. Volatility clustering in financial markets: a micro-simulation of interacting agents. International Journal of Theoretical and Applied Finance 3 (2001) 675-702
23. Omurtag A., Knight B.W., and Sirovich L. On the simulation of large populations of neurons. Journal of Computational Neuroscience 8 (2000) 51-63
24. Orléan A. Bayesian interactions and collective dynamics of opinion: Herd behavior and mimetic contagion. Journal of Economic Behavior and Organization 28 (1995) 257-274
25. Shiller R.J. Human behavior and the efficiency of the financial system. In: Taylor J.B., and Woodford M. (Eds). Handbook of Macroeconomics vol. 1 (1999), Elsevier, Amsterdam 1305-1340
26. Shiller R.J. Irrational Exuberance (2000), Princeton University Press, Princeton
27. Sirovich L., Omurtag A., and Lubliner K. Dynamics of neural populations: stability and synchrony. Network, Computation in Neural Systems 17 (2006) 3-29
28. Sirovich L. Dynamics of neuronal populations: eigenfunction theory; some solvable cases. Network, Computation in Neural Systems 14 (2003) 249-272
29. Sirovich L., Knight B.W., and Omurtag A. Dynamics of neuronal populations: the equilibrium solution. SIAM Journal on Applied Mathematics 60 (2000) 2009-2028
30. Strogatz S. Sync: The Emerging Science of Spontaneous Order (2003), Hyperion, New York
31. Topol R. Bubbles and volatility of stock prices: effect of mimetic contagion. Economic Journal 101 (1991) 786-800
32. Tuckwell H. Introduction to Theoretical Neurobiology (1988), Cambridge University Press, Cambridge
33. van Kampen N.G. Stochastic Processes in Physics and Chemistry (1987), North-Holland, Amsterdam
34. Watts D. Six Degrees (2003), Norton and Co., New York
35. Youssefmir M., and Huberman B. Clustered volatility in multiagent dynamics. Journal of Economic Behavior and Organization 32 (1997) 101-118