Skip to main content

Part of the book series: Contributions to Management Science ((MANAGEMENT SC.))

Abstract

The main focus of this paper is on the construction of a micro-model of stock-market speculator consistent with the assumptions on imitative behaviour used in Ferrari-Luciano-Peccati (1990)1. Our work is partially related to Grossman - Stiglitz (1980).

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD 39.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD 54.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  • K.J. Arrow (undated): ‘Liquidity Preference’, Lecture VI in Lecture Notes for Economics 285, The Economics of Uncertainty, pp. 33–53, Stanford University.

    Google Scholar 

  • E. Artin (1931): Einfuhrung in die Theorie der Gammafunktion, Hamburger Mathematische Einzelschriften, Heft 2, transl, by M. Butler ( 1964 ): The Gamma function, Holt Rinehart Winston, New York.

    Google Scholar 

  • M. Cenci - A.M. Cerquetti (1991): ‘Modelli evolutivi per un mercato azionario con valori fondamentali variabili nel tempo e asimmetria di informazioni’, Atti del Quindicesimo Convegno AMASES, Grado (I), 26–29 sett.

    Google Scholar 

  • A. Cornaglia (1991): ‘A Non-linear Model of Stock-Market Behaviour and Imitation’, Quaderni dell’Istituto di Matematica Finanziaria dell’Università di Torino.

    Google Scholar 

  • A. Cornaglia (1990): ‘A nonlinear model of stock market with institutionally different agents and imitation’, 8th Meeting of the EURO Working Group on Financial Modelling, Gieten.

    Google Scholar 

  • L. Ferrari - L. Peccati (1989): ‘Stock Market Behaviour and Imitation: a Simple Model’, 6th Meeting of the EURO Working Group on Financial Modelling, Liège. Quaderni del’Istituto di Matematica Finanziaria del’Università di Torino, 1991.

    Google Scholar 

  • L. Ferrari - E. Luciano - L. Peccati (1990): Institutionally Different Agents in an Imitative Stock-Market with Asymmetric Information’, 8th Meeting of the EURO Working Group on Financial Modelling, Gieten.

    Google Scholar 

  • S.J. Grossman - J.E. Stiglitz (1980): ‘On the impossibility of informationally efficient markets’, American Economic Review, 70, pp. 393–408.

    Google Scholar 

  • E. Luciano (1989): ‘Equilibrium in a Financial Market with Asymmetric Information’, 6th Meeting of the EURO Working Group on Financial Modelling, Lieges. Quaderni delVIstituto di Matematica Finanziaria dell’Università di Torino, 1991.

    Google Scholar 

  • E. Luciano (1990): ‘Market Making with Irrationalities: the Case of a Specialist Financial Market with Heterogeneous Traders’, 8th Meeting of the EURO Working Group on Financial Modelling, Gieten.

    Google Scholar 

  • A.W. Marshall - I. Olkin (1979): Inequalities: Theory of Majorization and Its Applications, Academic Press, New York.

    Google Scholar 

  • L. Montrucchio - L. Peccati (1990): ‘Log-convexity and Global Portfolio Immunization’, in A. Cambini - E. Castagnoli - L. Martein - P. Mazzoleni - S. Schaible: Generalized Convexity and Fractional Programming with Economic Applications. Lecture Notes in Economics and Mathematical Systems, n. 345, pp. 276–286.

    Google Scholar 

  • J.W. Pratt (1964): ‘Risk aversion in the small and in the large’, Econometrica, 32, pp. 122–136, reprinted in P. Dlamond - M. Rothschild (eds.) ( 1989 ): Uncertainty in Economics. Readings and Exercises, Academic Press, New York.

    Google Scholar 

  • A. Takayama (1974): Mathematical Economics, 1st Ed., The Dryden Press, Hinsdale, I II.

    Google Scholar 

Download references

Author information

Authors and Affiliations

Authors

Editor information

Editors and Affiliations

Rights and permissions

Reprints and permissions

Copyright information

© 1993 Physica-Verlag Heidelberg

About this paper

Cite this paper

Gota, M.L., Peccati, L. (1993). On Imitation. In: Flavell, R. (eds) Modelling Reality and Personal Modelling. Contributions to Management Science. Physica, Heidelberg. https://doi.org/10.1007/978-3-642-95900-4_10

Download citation

  • DOI: https://doi.org/10.1007/978-3-642-95900-4_10

  • Publisher Name: Physica, Heidelberg

  • Print ISBN: 978-3-7908-0682-3

  • Online ISBN: 978-3-642-95900-4

  • eBook Packages: Springer Book Archive

Publish with us

Policies and ethics