Artificial Agents and Speculative Bubbles

Pertaining to Agent-based Computational Economics (ACE), this work presents two models for the rise and downfall of speculative bubbles through an exchange price fixing based on a double auction mechanism. The first model is based in a finite time horizon context where total expected dividends decrease along with time. The second model follows the greater fool hypothesis: an agent behaviour depends on the comparison of its estimation of risk with that of a virtual greater fool. Simulations shed some light on the influent parameters and the necessary conditions for the appearance of speculative bubbles in an asset market within the considered framework.