This paper studies the use of social simulation in linking micro level investor behaviour and macro level stock market dynamics. Empirical data from a survey on individual investors' decision-making and social interaction was used to formalize the trading and interaction rules of the agents of the artificial stock market SimStockExchange. Multiple simulation runs were performed with this artifi...

Beta, as measured by the Capital Asset Pricing Model (CAPM), is widely used for pricing stocks, determining the cost of capital, and gauging the extent to which markets are integrated. The CAPM model assumes that equilibrium conditions prevail. The choice of which market portfolio to use in the regression – the home country or global index – depends on the level of global market integration. We...

Many asset markets exhibit slow booms and sudden crashes. This pattern is explained by an endogenous flow of information. In the model, agents undertake more economic activity in good times than in bad. Economic activity generates public information about the state of the economy. If the economic state changes when times are good and information is abundant, asset prices adjust quickly and a su...