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Slides Cf04
1.
Computational Finance 2004
Artificial Agents and Speculative Bubbles Y. Semet , S. Gelly, M. Schoenauer, M. Sebag Optimization & Machine Learning Group INRIA Futurs Orsay, France
2.
3.
4.
5.
6.
Auction Algorithm
7.
8.
9.
Choosing a strategy…
1 1 1 Buy Idle Sell 0 Exuberance Buy Idle Sell 0 Comfort Buy Idle Sell 0 Panic Exuberance Comfort Panic R 0 R 0 0 1 r(i,t)
10.
11.
12.
13.
Linear risk ;
Time horizon=500 p(t) Buy & Sell r(t)
14.
Endogenous risk: default
behavior (efficiency) p(t) r(t) Buy & Sell Exuberance Comfort Panic
15.
At t=250, F
becomes 75 p(t) r(t) Buy & Sell Exuberance Comfort Panic
16.
Bubbles w/o krach
; R0 in [0.4;0.6] p(t) Close-up Buy & Sell Exuberance Comfort Panic
17.
Bubbles w/o krach
; R0 in [0.4;0.8] p(t) Buy & Sell Exuberance Comfort Panic
18.
Influence of fool
factor 1.05 1.1 1.2 1.0
19.
Introducing asymetry p
t-1 -5% in panic vs p t-1 +/- 1% comfort/exb. bubbly behavior (R0 in [0.4;0.6]) p(t) Close-up Buy & Sell Exuberance Comfort Panic
20.
Bubbly behavior (R0
in [0.4;0.8]) p(t) Close-up Buy & Sell Exuberance Comfort Panic
21.
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