Human cognition, behaviors, and the stylized fact in asset market: Simulation/Experimental approach

2016 Fiscal Year Final Research Report

• Project/Area Number: 26350415
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Social systems engineering/Safety system
• Research Institution: University of Tsukuba
• Principal Investigator: AKIYAMA Eizo 筑波大学, システム情報系, 教授 (40317300)
• Project Period (FY): 2014-04-01 – 2017-03-31
• Keywords: 社会システム / 被験者実験 / 資産市場 / 人工市場 / シミュレーション

Outline of Final Research Achievements

In this research, we aim to clarify the cognitive/behavioral patterns and their interactions lying behind the emergence of so-called stylized facts in asset markets. Using an experimental approach, we investigated the effect of the strategic uncertainty and the individual bounded rationality on the deviation from the fundamental value. We showed that the strategic uncertainty arising from the inflow of inexperienced traders into the market can cause deviation from the fundamental value, and that both strategic uncertainty and individual irrationality equally contribute to the deviation. These results are reported in refereed journals on economics. Also, our computer simulation studies on the large-scale market interactions and the dilemma interactions on networks are reported in refereed journals on biology/physics.

Free Research Field

進化ゲーム論, 実験経済学