کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
883805 | 912353 | 2012 | 15 صفحه PDF | دانلود رایگان |
We introduce an order driver market model with heterogeneous traders that imitate each other on a dynamic network structure. The communication structure evolves endogenously via a fitness mechanism based on agents performance. We assess under which assumptions imitation, among noise traders, can give rise to the emergence of gurus and their rise and fall in popularity over time. We study the wealth distribution of gurus, followers and non followers and show that traders have an incentive to imitate and a desire to be imitated since herding turns out to be profitable. The model is then used to study the effect that different competitive strategies (i.e. chartist & fundamentalist) have on agents performance. Our findings show that positive intelligence agents cannot invade a market populated by noise traders when herding is high.
► We introduce an order driver market model with heterogeneous traders that imitate each other on a dynamic network structure.
► The communication structure evolves endogenously via a fitness mechanism based on agents performance.
► We study the emergence of herding and the wealth distribution of market participants (i.e. chartist, fundamentalist and noise traders).
► Our findings show that positive intelligence agents cannot invade a market populated by noise traders when herding is high.
Journal: Journal of Economic Behavior & Organization - Volume 81, Issue 1, January 2012, Pages 82–96