Authors: Fausto Mignanego; Paola Modesti
Addresses: Department of Mathematical Disciplines, Mathematical Finance and Econometrics, Catholic University, Largo Gemelli 1, 20123 Milan, Italy ' Department of Economics, University of Parma, Via Kennedy 6, 43125 Parma, Italy
Abstract: There is a wide literature about the behaviour of agents in a stock-market in the presence of imitation phenomena. Some issues may be treated in a game-theory context. In particular, we consider a micro-model of stock-market speculator and formalise it in a Stackelberg game. The problem consists in maximising the utility of two agents (called Leader and Follower) under the assumption that the latter also takes into account the Leader's opinion on the future value of a stock. The results show new relations between the optimal policies of the two agents.
Keywords: imitation; stock markets; optimisation; Stackelberg games; bilevel programming; game theory; stock market speculation; agent behaviour; stock value.
International Journal of Applied Management Science, 2014 Vol.6 No.1, pp.84 - 97
Available online: 17 Feb 2014 *Full-text access for editors Access for subscribers Purchase this article Comment on this article