Stock markets as Minority Games: cognitive heterogeneity and equilibrium emergence

Standard finance theory generally assumes homogeneous agents relatively to their preferences, heuristics and investment strategies. We propose to study, in an agent-based simulation, the emergence of equilibrium under various heterogeneous conditions. Market interaction is stylized with the Minority Game representation. It is shown that inductive rational equilibrium emerges even though agents do not share the same representations of the value. This may lead to consider again the roots of EMH and REH.