Modélisation de la formation du prix sur le marché avec échange d'information

Student thesis: Master typesMaster in Mathematics

Abstract

We consider a financial market in which one asset is exchanged daily. Agents on the market anticipate prices to choose whether they buy or sell. We model microscopically the formation of asset prices, considering that it depends on the information that individuals possess and exchange. This model is done through the introduction of various parameters. In determining the fundamental value of the asset, we study for which parameters values, the price obtained by the model converges to the fundamental value. When this is the case, we say that the market is efficient. This analysis will allow us to draw conclusions about the efficacity of the exchanges between agents. We will also study the situation in which agents adapt their strategy on a daily basis, they assess the value of one of the parameters based on the events of the day before, to minimize losses or maximize gains. In addition, we also consider a market where agents are divided in two groups. The agents who are in each group will have a different strategy.
Date of Award12 Jan 2012
Original languageFrench
SupervisorTimoteo Carletti (Supervisor), Gani Aldashev (Jury), Renaud Lambiotte (Jury) & Anne Lemaitre (Jury)

Cite this

Modélisation de la formation du prix sur le marché avec échange d'information
MEYER, P. (Author). 12 Jan 2012

Student thesis: Master typesMaster in Mathematics