We consider the issue of the overreaction of financial markets to a sudden price change. In particular, we focus on the price and the population dynamics which follows a large fluctuation. In order to investigate these aspects from different perspectives we discuss the known results for empirical data, the Lux-Marchesi model and a minimal agent based model which we have recently proposed. We show that, in this framework, the presence of a overreaction is deeply linked to the population dynamics. In particular, the presence of a destabilizing strategy in the market is a necessary condition to have an overshoot with respect to the exogenously induced price fluctuation. Finally, we analyze how the memory of the agents can quantitatively affect this behavio
Reaction to extreme events in a minimal agent based model / Zaccaria, Andrea; Cristelli, Matthieu; Pietronero, Luciano. - STAMPA. - (2013), pp. 133-140. [10.1007/978-88-470-2553-0_9].
Reaction to extreme events in a minimal agent based model
PIETRONERO, Luciano
2013
Abstract
We consider the issue of the overreaction of financial markets to a sudden price change. In particular, we focus on the price and the population dynamics which follows a large fluctuation. In order to investigate these aspects from different perspectives we discuss the known results for empirical data, the Lux-Marchesi model and a minimal agent based model which we have recently proposed. We show that, in this framework, the presence of a overreaction is deeply linked to the population dynamics. In particular, the presence of a destabilizing strategy in the market is a necessary condition to have an overshoot with respect to the exogenously induced price fluctuation. Finally, we analyze how the memory of the agents can quantitatively affect this behavioI documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.