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Communication Dans Un Congrès Année : 2012

A new approach to asset pricing with rational agents behaving strategically

Alain Bretto
Joël Priolon
  • Fonction : Auteur

Résumé

The volatility of stock prices is difficult to explain within the confines of rational pricing models. Changes in prices have become permanent; Therefore, as we keep the hypothesis of a rational behavior of agents, we must give a new explanation to the pricing of financial assets at any moment of time. In a model based on an original mathematical framework, we introduce persistent time-varying prices resulting from strategic interactions between rational agents. We demonstrate that in a close to equilibrium market, actual prices give the best approximation of the fundamental value; We also explain why, in some circumstances, rational behavior may lead to the development of a bubble or the surge of a financial crisis.
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Dates et versions

hal-01130912 , version 1 (12-03-2015)

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Alain Bretto, Joël Priolon. A new approach to asset pricing with rational agents behaving strategically. IEEE Computational Intelligence for Financial Engineering and Economics (CIFEr 2012), 2012, New-York, United States. pp.1--7, ⟨10.1109/CIFEr.2012.6327773⟩. ⟨hal-01130912⟩
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