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The influence of cognitive, learning and social interaction skills of investors on the price formation mechanism : an analysis helped by the conception of an financial market simulator

Abstract : We construct an agent-based computer simulated financial market. Trading in this market is not continuous. The market price is formed using a limit-order book. The modelled investors receive biased information and they attempt to maximize their wealth. Different traders, from noise to chartist and informed, coexist in the same market. We show how stylized facts can be formed by the presence of chartists or a simple lag in investor information. Price bubbles can arise when market prices are dominated by technical traders. Interestingly we show that well informed investors can earn more if the adopt, in special situations, a technical strategy. Using our results we propose a new theorem for market dynamics called “sometimes efficient markets”.
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Lucian Daniel Stanciu-Viziteu. The influence of cognitive, learning and social interaction skills of investors on the price formation mechanism : an analysis helped by the conception of an financial market simulator. Business administration. Université de Grenoble, 2013. English. ⟨NNT : 2013GRENG008⟩. ⟨tel-00996394⟩

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