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Comportements mimétiques et diversité des opinions sur les marchés financiers
... It allows to incorporate notions which the neo-classical analysis does not take into account: asymmetry of information, inefficiency of prices, heterogeneity of anticipations- Grossman (1977), Grossman-Stiglitz (1980), Grossman (1981), Radner (1972Radner ( , 1979. In our approach, which follows the second trend, the agents act without knowing the actual effect of their behavior: this contrasts the position of a model-builder- Orléan (1986Orléan ( , 1989Orléan ( , 1990Orléan ( , 1992. This, in turn, can lead to prices which disconnect from the fundamental indicators of economics. ...
... They are able to make profits if their expectations are judiciously chosen. It is rational for the agent- Keynes (1936), Orléan (1986Orléan ( , 1989, Sornette (2001) (see Chap. 4)-to take into account collective judgments in order to make portfolio profits. ...
... These well-known principles generate different kinds of risks between which agents choose by arbitrage. The former is a competing risk- Keynes (1936), Orléan (1989)-which leads agents to imitate the collective point of view since the market price includes it. Thus, it is assumed that Keynes' animal spirits may exist. ...
Imitative and contrarian behaviors are the two typical opposite attitudes of investors in stock markets. We introduce a simple model to investigate their interplay in a stock market where agents can take only two states, bullish or bearish. Each bullish (bearish) agent polls m “friends” and changes her opinion to bearish (bullish) if (1) at least mρhb (mρbh) among the m agents inspected are bearish (bullish) or (2) at least mρhh > mρhb (mρbb > mρbh) among the m agents inspected are bullish (bearish).
The condition (1) (resp. (2)) corresponds to imitative (resp. antagonistic) behavior. In the limit where the number N of agents is infinite, the dynamics of the fraction of bullish agents is deterministic and exhibits chaotic behavior in a significant domain of the parameter space {ρhb, ρbh, ρhh, ρbb, m}. A typical chaotic trajectory is characterized by intermittent phases of chaos, quasi-periodic behavior and super-exponentially growing bubbles followed by crashes. A typical bubble starts initially by growing at an exponential rate and then crosses over to a nonlinear power law growth rate leading to a finitetime singularity. The reinjection mechanism provided by the contrarian behavior introduces a finite-size effect, rounding off these singularities and leads to chaos. We document the main stylized facts of this model in the symmetric and asymmetric cases. This model is one of the rare agent-based models that give rise to interesting non-periodic complex dynamics in the “thermodynamic” limit (of an infinite number N of agents). We also discuss the case of a finite number of agents, which introduces an endogenous
source of noise superimposed on the chaotic dynamics.
... It allows to incorporate notions which the neo-classical analysis does not take into account: asymmetry of information, inefficiency of prices, heterogeneity of anticipations- Grossman (1977), Grossman-Stiglitz (1980), Grossman (1981), Radner (1972Radner ( , 1979. In our approach, which follows the second trend, the agents act without knowing the actual effect of their behavior: this contrasts the position of a model-builder- Orléan (1986Orléan ( , 1989Orléan ( , 1990Orléan ( , 1992. This, in turn, can lead to prices which disconnect from the fundamental indicators of economics. ...
... They are able to make profits if their expectations are judiciously chosen. It is rational for the agent- Keynes (1936), Orléan (1986Orléan ( , 1989, Sornette (2001) (see Chap. 4)-to take into account collective judgments in order to make portfolio profits. ...
... These well-known principles generate different kinds of risks between which agents choose by arbitrage. The former is a competing risk- Keynes (1936), Orléan (1989)-which leads agents to imitate the collective point of view since the market price includes it. Thus, it is assumed that Keynes' animal spirits may exist. ...
Imitative and contrarian behaviours are the two typical opposite attitudes of investors in stock markets. We introduce a simple model to investigate their interplay in a stock market where agents can take only two states, bullish or bearish. Each bullish (bearish) agent polls m 'friends' and changes her opinion to bearish (bullish) if (i) at least mρhb (mρbh) among the m agents inspected are bearish (bullish) or (ii) at least mρhh>mρhb (mρbb>mρbh) among the m agents inspected are bullish (bearish). The condition (i) ((ii)) corresponds to imitative (antagonistic) behaviour. In the limit where the number N of agents is infinite, the dynamics of the fraction of bullish agents is deterministic and exhibits chaotic behaviour in a significant domain of the parameter space {ρhb,ρbh,ρhh,ρbb,m}. A typical chaotic trajectory is characterized by intermittent phases of chaos, quasi-periodic behaviour and super-exponentially growing bubbles followed by crashes. A typical bubble starts initially by growing at an exponential rate and then crosses over to a nonlinear power-law growth rate leading to a finite-time singularity. The reinjection mechanism provided by the contrarian behaviour introduces a finite-size effect, rounding off these singularities and leads to chaos. We document the main stylized facts of this model in the symmetric and asymmetric cases. This model is one of the rare agent-based models that give rise to interesting non-periodic complex dynamics in the 'thermodynamic' limit (of an infinite number N of agents). We also discuss the case of a finite number of agents, which introduces an endogenous source of noise superimposed on the chaotic dynamics.
... It allows to incorporate notions which the neo-classical analysis does not take into account: asymmetry of information, inefficiency of prices, heterogeneity of anticipations- Grossman (1977), Grossman-Stiglitz (1980), Grossman (1981), Radner (1972Radner ( , 1979. In our approach, which follows the second trend, the agents act without knowing the actual effect of their behavior: this contrasts the position of a model-builder- Orléan (1986Orléan ( , 1989Orléan ( , 1990Orléan ( , 1992. This, in turn, can lead to prices which disconnect from the fundamental indicators of economics. ...
... They are able to make profits if their expectations are judiciously chosen. It is rational for the agent- Keynes (1936), Orléan (1986Orléan ( , 1989, Sornette (2001) (see Chap. 4)-to take into account collective judgments in order to make portfolio profits. ...
... These well-known principles generate different kinds of risks between which agents choose by arbitrage. The former is a competing risk- Keynes (1936), Orléan (1989)-which leads agents to imitate the collective point of view since the market price includes it. Thus, it is assumed that Keynes' animal spirits may exist. ...
Imitative and contrarian behaviours are the two typical opposite attitudes of investors in stock markets. We introduce a simple model to investigate their interplay in a stock market where agents can take only two states, bullish or bearish. Each bullish (bearish) agent polls m `friends' and changes her opinion to bearish (bullish) if (i) at least m# hb (m# bh ) among the m agents inspected are bearish (bullish) or (ii) at least m# hh >m# hb (m# bb >m# bh ) among the m agents inspected are bullish (bearish). The condition (i) ((ii)) corresponds to imitative (antagonistic) behaviour. In the limit where the number N of agents is infinite, the dynamics of the fraction of bullish agents is deterministic and exhibits chaotic behaviour in a significant domain of the parameter space {# hb ,# bh ,# hh ,# bb ,m}. A typical chaotic trajectory is characterized by intermittent phases of chaos, quasi-periodic behaviour and super-exponentially growing bubbles followed by crashes. A typical bubble starts initially by growing at an exponential rate and then crosses over to a nonlinear power-law growth rate leading to a finite-time singularity. The reinjection mechanism provided by the contrarian behaviour introduces a finite-size effect, rounding off these singularities and leads to chaos. We document the main stylized facts of this model in the symmetric and asymmetric cases. This model is one of the rare agent-based models that give rise to interesting non-periodic complex dynamics in the `thermodynamic' limit (of an infinite number N of agents). We also discuss the case of a finite number of agents, which introduces an endogenous source of noise superimposed on the chaotic dynamics.
... It allows to incorporate notions which the neo-classical analysis does not take into account: asymmetry of information, inefficiency of prices, heterogeneity of anticipations- Grossman (1977), Grossman-Stiglitz (1980), Grossman (1981), Radner (1972Radner ( , 1979. In our approach, which follows the second trend, the agents act without knowing the actual effect of their behavior: this contrasts the position of a model-builder- Orléan (1986Orléan ( , 1989Orléan ( , 1990Orléan ( , 1992. This, in turn can lead to prices which disconnect from the fundamental indicators of economics. ...
... They are able to make profits if their expectations are judiciously chosen. It is rational for the agent- Keynes (1936), Orléan (1986Orléan ( , 1989)-to take into account collective judgements in order to make portfolio profits. ...
... These well-known principles generate different kinds of risks between which agents choose by arbitrage. The former is a competing risk- Keynes (1936), Orléan (1989)-which leads agents to imitate the collective point of view since the market price includes it. Thus, it is assumed that Keynes' animal spirits may exist. ...
this paper is to present a model which takes into account the effects of collective opinions. The presence of mimetic behavior for the determination of prices has of course been studied earlier---Arthur (1987), Bikhchandani et al.(1992), Orl ean (1986, 1990, 1992), Shiller (1984), Topol (1991), West (1988). But the numerous economic considerations to which our model applies are quite specific, and new: it generates in a purely mechanical way self-fulfilling speculative bubbles whose collapse is intrinsic to the model. In particular, the dynamics of prices is completely deterministic, and the chaotic behavior has purely deterministic origin.
... Before presenting the model and its results, it is useful to compare it with the relevant literature and related models. A related line of research aims at developing a theory of "convention" (Orléan, 1984(Orléan, , 1986(Orléan, , 1989a(Orléan, ,b, 1991(Orléan, , 1995, which emphasizes that even the concept of "fundamental value" may be a convention established by positive and negative feedbacks in a social system. A first notable implementation by Topol (1991) proposes a model with an additive learning process between an 'agent-efficient' price dynamics and a mimetic contagion dynamics. ...
... (Follmer, 1974;Callen and Shapero, 1974;Montroll and Badger, 1974). In particular, Orléan (Orléan, 1984(Orléan, , 1986(Orléan, , 1989a(Orléan, ,b, 1991(Orléan, , 1995 has captured the paradox of combining rational and imitative behavior under the name "mimetic rationality," by developing models of mimetic contagion of investors in the stock markets which are based on irreversible processes of opinion forming. ...
We present a simple agent-based model to study the development of a bubble and the consequential crash and investigate how their proximate triggering factor might relate to their fundamental mechanism, and vice versa. Our agents invest according to their opinion on future price movements, which is based on three sources of information, (i) public information, i.e. news, (ii) information from their "friendship" network and (iii) private information. Our bounded rational agents continuously adapt their trading strategy to the current market regime by weighting each of these sources of information in their trading decision according to its recent predicting performance. We find that bubbles originate from a random lucky streak of positive news, which, due to a feedback mechanism of these news on the agents' strategies develop into a transient collective herding regime. After this self-amplified exuberance, the price has reached an unsustainable high value, being corrected by a crash, which brings the price even below its fundamental value. These ingredients provide a simple mechanism for the excess volatility documented in financial markets. Paradoxically, it is the attempt for investors to adapt to the current market regime which leads to a dramatic amplification of the price volatility. A positive feedback loop is created by the two dominating mechanisms (adaptation and imitation) which, by reinforcing each other, result in bubbles and crashes. The model offers a simple reconciliation of the two opposite (herding versus fundamental) proposals for the origin of crashes within a single framework and justifies the existence of two populations in the distribution of returns, exemplifying the concept that crashes are qualitatively different from the rest of the price moves.
... Before presenting the model and its results, it is useful to compare it with the relevant literature and related models. A related line of research aims at developing a theory of " convention " (Orléan, 1984Orléan, , 1986Orléan, , 1989aOrléan, ,b, 1991Orléan, , 1995), which emphasizes that even the concept of " fundamental value " may be a convention established by positive and negative feedbacks in a social system. A first notable implementation by Topol (1991) proposes a model with an additive learning process between an 'agent-efficient' price dynamics and a mimetic contagion dynamics. ...
... (Follmer, 1974; Callen and Shapero, 1974; Montroll and Badger, 1974). In particular, Orléan (Orléan, 1984Orléan, , 1986Orléan, , 1989aOrléan, ,b, 1991Orléan, , 1995) has captured the paradox of combining rational and imitative behavior under the name " mimetic rationality , " by developing models of mimetic contagion of investors in the stock markets which are based on irreversible processes of opinion forming. ...
We present a simple agent-based model to study the development of a bubble and the consequential crash and investigate how their proximate triggering factor might relate to their fundamental mechanism, and vice versa. Our agents invest according to their opinion on future price movements, which is based on three sources of information, (i) public information, i.e. news, (ii) information from their “friendship” network and (iii) private information. Our bounded rational agents continuously adapt their trading strategy to the current market regime by weighting each of these sources of information in their trading decision according to its recent predicting performance. We find that bubbles originate from a random lucky streak of positive news, which, due to a feedback mechanism of these news on the agents’ strategies develop into a transient collective herding regime. After this self-amplified exuberance, the price has reached an unsustainable high value, being corrected by a crash, which brings the price even below its fundamental value. These ingredients provide a simple mechanism for the excess volatility documented in financial markets. Paradoxically, it is the attempt for investors to adapt to the current market regime which leads to a dramatic amplification of the price volatility. A positive feedback loop is created by the two dominating mechanisms (adaptation and imitation) which, by reinforcing each other, result in bubbles and crashes. The model offers a simple reconciliation of the two opposite (herding versus fundamental) proposals for the origin of crashes within a single framework and justifies the existence of two populations in the distribution of returns, exemplifying the concept that crashes are qualitatively different from the rest of the price moves.
... La thèse du mimétisme est sans doute une des plus séduisantes pour rendre compte du fonctionnement du marché. Elle revient à dire qu'en l'absence de fondamentaux reconnus par tous sur un marché ou lorsque l'incertitude sur la valeur des variables pertinentes croît, alors le marché devient nécessairement autoréférentiel [Orléan, 1989a[Orléan, et 1989b. Ce qui doit rationnellement guider les décisions des acteurs n'est plus alors l'hypothétique taux de change issu d'improbables fondamentaux mais l'anticipation de ce que feront les autres participants au marché. ...
La finance internationale a fait l’objet, en quelque trente ans, de mutations particulièrement spectaculaires. Les années 1967-82 ont d’abord vu le développement d’un marché international de capitaux (le marché des eurodollars, puis plus généralement des eurodevises) non contrôlé par les autorités publiques. Ce marché a permis tout à la fois une souplesse opérationnelle inconnue jusqu’alors (pas de réserves obligatoires, fiscalité favorable...), une intégration plus forte entre marchés et surtout une solution pratique aux graves déséquilibres de paiements courants de l’époque (recyclage des pétrodollars vers les PVD). A partir de 1983, en revanche, la situation se transforme radicalement. Le changement progressif dans la nature des déséquilibres de paiements courants (stabilisation progressive, entre 1983 et 1988, des déficits des PVD et apparition du double déficit américain) rend le marché des eurocrédits inapte à assurer les nouveaux financements internationaux [Oliveira-Martins et Plihon, 1990]. On ne finance pas le déficit courant des Etats-Unis par crédit bancaire, comme on comblerait celui d’un “ vulgaire ” PVD... C’est essentiellement par l’appel aux marchés de titres que ce financement américain peut s’effectuer. Ceci contribue pour partie à engendrer un triple mouvement [Bourguinat, 1992] nécessaire à ce financement. C’est d’abord un mouvement de décloisonnement desmarchés : suppression des contrôles de change entre autres. C’est ensuite une vague de déréglementation (nouveaux produits financiers permettant de pallier les risques de taux d’intérêt et de change, tous deux devenus plus volatils). C’est enfin l’essor de la désintermédiationbancaire : montée en force de la “ titrisation ” des créances, destinée à faire porter celles-ci par les épargnants et à en diffuser ainsi le risque.
... When the information that people seek is contained in others' choices, imitation can represent completely rational behavior. Theoretical works by Orléan (1989aOrléan ( , b, 1994 and have contributed to the reintegration of imitation as a legitimate study in finance. By incorporating these perspectives into their decision making, agents can decide in line with an opinion or a movement of opinion, rather than simply pursuing analyses of situations and values. ...
This paper is a comprehensive and complete research on bank failures that we examine from many different perspectives. It compromises a comprehensive dataset of ~60,000 observations for an extensive period (2005–2014) and examines different prediction horizons prior to failure. Moreover, we explore whether the addition of variables related to the diversification of the banks’ activities along with local effects, improve the predictability of the models. Seven popular and widely used machine learning techniques are compared under different performance metrics, using a bootstrap analysis. The results show that mid to long-term prediction improves significantly with the addition of diversification variables. Local effects exist and further improve the results, while, support vector machines, gradient boosting, and random forests outperform traditional models with the performance differences increasing over longer prediction horizons.
... When the information that people seek is contained in others' choices, imitation can represent completely rational behavior. Theoretical works by Orléan (1989aOrléan ( , b, 1994 and have contributed to the reintegration of imitation as a legitimate study in finance. By incorporating these perspectives into their decision making, agents can decide in line with an opinion or a movement of opinion, rather than simply pursuing analyses of situations and values. ...
The aim of this chapter is to provide insight into how investors and fund managers can handle their decision-making process and foster better allocation of financial assets. Investor sentiment offers promise in helping to understand how financial markets function, as well as to better predict market dynamics. This chapter presents a theoretical framework that is capable of rethinking financial markets. Agent-based approaches to finance and nonlinear models provide insights into the driving forces underlying the stylized facts characterizing financial markets and help to provide explanations for financial instability. We also show that the interdependence of agents can be reflected in interaction networks. Indeed, investors can change from one regime to another. Adjustment delays in prices are difficult to represent by simple linear models. To capture the complexity and further non-linearity generated by investors’ interactions, agent-based models, network analysis and thresholds models are well suited. We examine the extent to which these new tools could explain the persistence of asset price deviations. We highlight how these modeling tools contribute to a better integration of risk sentiment in asset management and thus can best describe financial markets’ reality.
... Herding is typically described as the tendency of investors to imitate others or flock together when they trade securities. This topic has received considerable attention in the financial literature and herding behavior in financial markets has been interpreted in many ways (Kindleberger and Aliber (2011), Bernstein (1993), Bernstein (1996), Galbraith (1994) or Orléan (1989), Orléan (1992), Orléan (2001)). Devenow and Welch (1996) note that herding in financial markets requires a coordination mechanism which can arise from a widely spread coordination rule based on either a signal (price movement) or each one's skill at observing other decision-makers. ...
We propose a detailed and comprehensive examination of the two main regression-based techniques used to detect herding among investors. We also introduce a novel approach based on the autocorrelation of returns. We test all models on a unique dataset of wine prices. For the first two models, our conclusions highlight the importance of macroeconomic variables (US equities) on the dispersion of wine returns. Thus, if wine investors herd, it is essentially because of external contingencies and they are not driven by the state of the wine market itself. The third (new) model seems to indicate that there is at most weak evidence of herding and the conclusions are robust when controlling for the state of the US equity market.
... Ce rôle central des anticipations et de leur exactitude est déjà présent chez Keynes (1921), qui affirme leur caractère incertain, subjectif et fluctuant. Il est à l'origine des politiques agricoles modernes, initiées par Franklin D. Roosevelt au milieu des années 30, et qui étaient justifiées par de telles considérations (Ezekiel, 1938).On le retrouve enfin dans l'analyse des épisodes fébriles sur les marchés financiers (Kindleberger 1996, Orléans 1989).Rien que la prise en compte de ce type de hasardon ne peut plus compter sur la loi de grands nombre pour en effacer les conséquences-justifierait l'intervention sur les marchés agricoles. ...
Alors que les gains à attendre suite à la libéralisation des échanges, en particulier pour les PED, sont généralement présentés comme essentiels aux progrès de la lutte contre la pauvreté, cette étude souligne leur faiblesse lorsqu'ils sont exprimés en termes relatifs et leur sensibilité aux hypothèses réalisées sur le fonctionnement des marchés. En effet, alors que l'imperfection de l'information est largement admise, parmi les spécialistes, comme caractéristiques des marchés agricoles, sa prise en compte dans le modèle transforme des gains extrêmement faibles en pertes parfois importantes, soulignant ainsi l'utilité sociale des politiques agricoles.
... De ce point de vue, Mandelbrot (1973) propose de distinguer le hasard bénin, gaussien, du hasard sauvage, « parétien » 22 , qui met en jeu des lois de probabilités sans variance finie. Orléan (1989) montre comment de telles lois de probabilités peuvent être engendrées par des comportements moutonniers. Il insiste sur la rationalité de tels comportements lorsque l'acteur se trouve dans une situation d'ignorance totale : soit l'individu imité ne dispose pas non plus d'information et la position de l'imitateur est inchangée, soit il possède l'information et la situation de l'imitateur est améliorée. ...
Aussi bien en France qu’en Europe, ces dernières années, la volatilité des prix des céréales au niveau du producteur a considérablement augmenté : en Europe, la libéralisation progressive de la politique agricole commune a mis les agriculteurs en prise directe avec les flucturations des prix mondiaux, qui ont du reste toujours existé. Mais les prix mondiaux, eux-mêmes, ont connu récemment des alternances de hausses et de baisses analogues à celles que l’on avait pu observer à la fin du 19ème siècle, et qui semblaient oubliées depuis la crise de 1974. La question de savoir si les prix mondiaux sont plus instables reste controversée, soulignant leur instabilité intrinsèque et les difficultés de mesures de l’instabilité (sensibilité à la période de référence, multitude des définitions). Il existe cependant un consensus sur un risque d’instabilité croissante lié au changement climatique, aux modifications de l’équilibre offre/demande au niveau mondial (épuisement des gains de productivité, baisse de la fertilité dans certaine régions, croissance de la population), aux nouvelles stratégies d’accès aux ressources (processus d’accaparement des terres), etc.
De fortes fluctuations des prix ont des conséquences très dommageables: en périodes de prix élevés, les consommateurs souffrent, et certains des plus pauvres peuvent en mourir. En situation de prix bas, les agriculteurs ne peuvent rembourser leurs banques, qui se trouvent elles-mêmes en difficulté. Les faillites s’accumulent. La production baisse, préparant ainsi une nouvelle pénurie. Les industries alimentaires doivent sans cesse changer leurs plans de production, au détriment de leur productivité.
Dans ces conditions, les gouvernements tentent depuis longtemps de trouver les moyens d’atténuer les impacts négatifs de ces fluctuations et le stockage public joue un rôle important dans les instruments mobilisés. Son efficacité et sa contribution au bien être global restent le sujet d’une vive controverse en économie. Pour ses détracteurs, il est source de distorsion, de comportements opportunistes et de perte de bien-être global. Pour ses partisans, il peut permettre de remédier aux difficultés de fonctionnement des marchés et à leurs conséquences désastreuses sur la sécurité alimentaire des plus pauvres.
Le présent rapport a pour but de faire le point sur cette question. Il s’agit d’abord de faire une synthèse des travaux de recherche qui, depuis maintenant plus de cinquante ans, ont été entrepris pour répondre à cette question (Chapitre I). Etant donnée l’abondance des contributions, il ne s’agit pas de faire une revue exhaustive de la littérature. On se contentera d’examiner les grandes lignes de la théorie du stockage, telle qu’elle existe actuellement, et d’isoler les éléments encore sujets à controverse. Cela permettra de prendre la mesure de la complexité de cette question et de la multitude des mécanismes, variables et interactions à considérer, au niveau d’une économie nationale, pour une évaluation des coûts et avantages du stockage public.
La théorie dominante conclue à l’inutilité du stockage public, mais au prix d’hypothèses extrêmement fortes sur l’information dont dispose les agents économiques au moment de la prise de décision. En particulier, il faut pour cela négliger partiellement ou totalement la réaction aux risques des producteurs, qui n’est que rarement évoquée, et sur des bases discutables quand elle l’est.
D’un autre côté, au-delà de la souffrance des consommateurs vulnérables engendrée par l’instabilité des prix des denrées alimentaires et des effets ponctuels mentionnés ci-dessus, plusieurs auteurs soulignent ses effets négatifs sur la croissance globale des économies les plus pauvres. On explique ainsi les phénomènes de "trappe à pauvreté". Alors que l’épargne est peu importante, l’instabilité des prix met en péril la rentabilité des investissements qui sont ainsi découragés. En l’absence de capital, la productivité du travail est faible, les revenus également tout comme l’épargne…C’est un cercle vicieux maintenant bien documenté. La mise en place d’un stockage public offrant un prix « plancher» aux producteurs serait-elle un levier suffisant pour instaurer un cercle vertueux où un investissement suffisant permet la croissance de la productivité du travail et des revenus ? La revue de la littérature permet de mettre en évidence plusieurs contributions importantes qui vont dans ce sens.
Mais il ne faut pas se contenter de rechercher qui a dit quoi sur quoi. Il faut aussi essayer de créer de l’information nouvelle. A cet effet, pour évaluer les impacts du stockage public dans des situations concrètes, un modèle économique stylisé de l’Afrique Subsaharienne a été construit et utilisé dans la construction de plusieurs scénarii (Chapitre II). L’Afrique Sub-saharienne (hors Afrique du Sud) a été choisie car il s’agit du continent le plus touché par la pauvreté, quels que soient les indicateurs utilisés. Le modèle est extrêmement stylisé mais représente les éléments essentiels, définis lors de la revue de la littérature menée en partie I. L’ensemble de l’économie est représentée de façon dynamique, les stockeurs publics et privés sont pris en compte, le commerce international joue un rôle clé dans la formation des prix sur le marché. Ce modèle permet ainsi d’analyser à la fois les impacts du stockage privé et public sur la stabilité des prix, les relations entre ces deux variables, l’évolution des revenus et des importations, la croissance des secteurs agricoles et la croissance générale de l’économie. Les résultats sont extrêmement riches. Ils confirment et affinent les travaux théoriques : stockage et commerce extérieur sont intimement liés dans le processus de formation des prix. Le stockage public, associé à des mesures sur le commerce extérieur permet la stabilisation des prix mais ne peut y parvenir sans ces mesures.
La conclusion cependant sans doute la plus intéressante est que, à elle seule, dans le contexte présenté ici d’une Afrique Sub-saharienne extrêmement stylisée, la stabilisation des prix des céréales par stockage public est insuffisante pour enclencher un « cercle vertueux » de croissance.
L’étude d’un pays isolé ne fait cependant pas le tour de la question : il faut aussi envisager les conséquences que peut avoir sur les pays voisins une politique mise en place dans un pays donné. C’est pourquoi la Chapitre III est dévolue aux relations entre pays et à l’analyse des impacts des politiques menées dans une nation sur ses partenaires. Ce point est important, car l’une des objections majeure à l’encontre de l’intervention publique dans les politiques agricoles tient au fait que de telles actions sont susceptibles d’entraîner des conséquences très néfastes pour les autres pays (c’est le cas des politiques protectionnistes et des politiques de soutien aux prix agricoles dans les pays riches souvent accusées de réduire le bien être et de freiner le développement dans de nombreux pays pauvres (Anderson et al., 2006a,b)). On va montrer ici, sur la base des résultats d’un micro-modèle théorique, que cette objection est parfois fondée, mais que les choses sont plus compliquées que ne le laisse croire en la matière le discours dominant, et que, finalement, chaque cas est particulier...
... Comment concevoir en effet qu'en l'absence d'informations vraiment importantes les actions, y compris celles des grandes sociétés, aient pu perdre simultanément autant de valeur ? Orléan (1989) 21 a posé le problème de la manière suivante : ...
The perfect rationality of investors, one of the foundations of theefficient market hypothesis, is increasingly being questioned. This has led to thedevelopment of behavioral finance. Market sentiment, which stems from it, is the focusof this study. Having first linked this concept to rationality and defined it, this studygoes on to present the most common ways of measuring market sentiment and assesstheir ability to anticipate market returns. Then, using two different studies, we do twothings (1) using mainly multi-Agent models and by modeling the impact of informationshocks on the distribution of returns, we empirically show how skewness and kurtosis inthe distribution of returns can be used as market sentiment indicators; (2) wedemonstrate that many standard sentiment indicators are processes affected by long- orshort-Term memory, making them invalid as contrarian indicators even though this ishow they are typically used.
... Hommes (1994) and Brock and Hommes (1997) showed that different expectations processes and learning yield contradictory results concerning the stability or unstability of the rational expectation steady state in the cobweb framework. Orléans (1989), Day and Huang (1990) and Lux (1998) showed how mimetic behaviour may generate such distributions. Zajdenweber (2000) emphasized that the aggregation of the behaviour of various actors may generate Pareto distributions. ...
The recent price spike on international agricultural markets took experts by surprise, most economists worrying about the long term decline of agricultural prices, and calls into question one of the most widespread political recommendations over the last three decades: “liberalize trade and trust international markets with regard to food security”. Nevertheless, according to the most classical economic theory, such behaviour of agricultural prices was to be expected. However, certain fundamentals of market price dynamics have often been neglected in world models. An alternative representation of price formation in a world model is presented and its results discussed.
... Keynes, dès 1921, affirmait le rôle central des anticipations dans la physionomie des marchés et, dans la théorie générale (1936), il esquissait le concept de comportement moutonnier qui est maintenant largement utilisé pour expliquer les comportements des opérateurs sur les marchés financiers. Orléan [1989] montre comment ces comportements moutonniers, quoique rationnels en l'absence d'information, sont à la source des « bulles rationnelles » généralement suivies de réajustements brutaux qui génèrent ainsi une instabilité des prix qui n'est pas liée à des perturbations extérieures. Les agents se trompent dans leurs anticipations ; leurs erreurs affectent les volumes d'équilibre et les prix qui contribuent à perpétuer les erreurs [Boussard 1994[Boussard , 1996. ...
... Foi formulada por Keynes, que definiu a especulação, no capítulo XII da Teoria Geral, como a atividade que consiste em prever a psicologia do mercado. Numa situação de incerteza, na qual o futuro não é probabilizável, o mimetismo seria um comportamento racional, pois permitiria aproveitar a informação supostamente veiculada pelo mercado (ORLEAN, 1989, apud PHILON, 1995). Essa forma de racionalidade é, evidentemente, muito diferente daquela postulada pela teoria das expectativas racionais. ...
Resumo: o objetivo deste artigo é examinar três explicações teóricas para recentes crises nos mercados financeiros mundiais e contrapor defensores e oposicionistas à adoção de novas regras para o funcionamento desses mercados. Em tais mercados, interligados através das multinacionais e dos fluxos de capital e de comércio, tem sido crescente a importância dos chamados investidores institucionais. Como a informação é assimétrica e cara, esses investidores preferem adotar uma estratégia de diversificação de carteira e um comportamento de manada para fugir dos elevados custos de obtê-la. Quando eles saem em bando, de um dado espaço nacional, o pânico se alastra contagiando o lado real da economia. Neste contexto, as crises não devem ser vistas como um problema isolado de um específico país, mas sim como algo cuja solução precisa ser pensada globalmente.
... Deve-se a Orléan (1989aOrléan ( , 1992Orléan ( e 1994 uma das contribuições mais frutuosas para a compreensão dos fenómenos de opinião que regem actualmente os mercados financeiros. Sendo a incerteza uma característica intrínseca dos mercados financeiros, e representando a incerteza a existência de uma dúvida importante sobre a evolução dos valores fundamentais, Orléan demonstra que, nesse contexto, a resposta racional dos agentes só pode ser um comportamento mimético, o qual está na origem da extrema instabilidade de preços característica destes mercados. ...
This paper studies the various Portuguese escudo exchange rate crises during the period 1992-95. Were they the result of the market evaluation of the fundamentals of the Portuguese economy? Were they the outcome of the expected political changes? Or, to the contrary, can we suggest self-fulfilling crises? After a general introduction, the paper starts with an estimation of the exchange rate policy credibility a la Svensson and a brief description of the escudo exchange rate crises. The paper then presents different theoretical explanations for speculative attacks, paying special attention to the new formalisations of the behaviour of market agents. We conclude with some normative remarks concerning the Portuguese exchange rate crises.
... become increasingly interested in the " sentiments of the market " (Eichengreen and Mody, 1998), in the mimetic rationality of actors (Shiller, 1987 Orléan, 1989b), in asymmetries of information (Mishkin, 1997), and in the influence of self-realizing prophetic mechanisms and the diffusion of noise which affects financial markets (De Long et al, 1990; Shleifer and Summers, 1990; Shiller, 1995). In short, the literature focuses on the behavior of financial actors, their anticipations and reactions to information and signals that are not only emitted by the economic fundamentals but also by other actors. ...
The reaction time of financial markets presently constitutes one of the major challenges facing the State. Using the results of a qualitative research study, the current work aims to formulate and to discuss a hypothesis concerning the short-termism of financial markets by presenting an analysis of the temporal horizons and cognitive maps of actors who "make or break" prices on emerging markets. Behind the power of the market hides a multitude of actors, analysts, strategists, economists, and portfolio managers who constitute a veritable epistemic community with its own dynamic of opportunity and constraint. Our aim in this paper is to unravel the various strands in the tapestry that weaves the interactions of those who "make the market" together. It is not embroidered by the invisible hand of god, or the devil, but, more simply, by the unceasing anticipations and interactions of a myriad of analysts and investors who draw their breath from Wall Street.
... [1,2]). In particular, Orleán345678 has captured the paradox of combining rational and imitative behavior under the name ''mimetic rationality,'' by developing models of ARTICLE IN PRESS base her action for the next investment period on her best guess of the present action of all other agents for the next investment period (see below). Expression (1) embodies three contributions to the decision making process of agent i. ...
Following a long tradition of physicists who have noticed that the Ising model provides a general background to build realistic models of social interactions, we study a model of financial price dynamics resulting from the collective aggregate decisions of agents. This model incorporates imitation, the impact of external news and private information. It has the structure of a dynamical Ising model in which agents have two opinions (buy or sell) with coupling coefficients, which evolve in time with a memory of how past news have explained realized market returns. We study two versions of the model, which differ on how the agents interpret the predictive power of news. We show that the stylized facts of financial markets are reproduced only when agents are overconfident and mis-attribute the success of news to predict return to herding effects, thereby providing positive feedbacks leading to the model functioning close to the critical point. Our model exhibits a rich multifractal structure characterized by a continuous spectrum of exponents of the power law relaxation of endogenous bursts of volatility, in good agreement with previous analytical predictions obtained with the multifractal random walk model and with empirical facts.
... Dans cette lignée théorique, les travaux pionniers de Kindleberger [1978] et Minsky22 ont été complétés par la théorie des bulles spéculatives (Blanchard et Watson, [1982] ; Colletaz et Gourlaouen, [1989]) ; l'analyse des prophéties auto-réalisatrices, «Self-fulfilling prophecies», (Azariadis, [1981]) ; les modèles de contrat (Canzoneri et Sibert, [1990]) : les contrats implicites, « Implicit contracts », (Azariadis, [1975] , [1989] ; Azariadis et ), les contrats incitatifs, « Incentive contracts », (Lazear, [1989]), les contrats contingents (Artus et Freixas, [1989]) appliqués aux marchés financiers. On doit y ajouter l'analyse des anticipations rationnelles dans des contextes de contagion, de panique ou de mimétisme (Orléan, [1989]) où les agents, confrontés au risque inhérent à la singularité, réduisent la diversité de leurs comportements pour les faire converger vers l'opinion moyenne. ...
[fre] Après avoir cerné, par une revue de la littérature, le fonctionnement des marchés financiers, caractérisés par les phénomènes d'incertitude, de risque, et d'asymétrie d'information, nous montrons que la prise en compte de la qualité des agents et, plus précisément, l'appréciation de leur réputation et de leur crédibilité, contribue à améliorer le traitement de la complexité de ces marchés. [eng] Since the mid 1980s Japan's external surpluses have increased significantly. This phenomenon, which is not due to cyclical factors, is linked, in the context of the increasing globalization of the world economy and investment, to the very high level of Japanese savings. Should it persist, this situation would have dramatic consequences for the ownership and control of world capital. Among the possible measures aimed at curbing such a development, which is regarded as a matter of concern to other regions of the world, including Europe, policies aimed at stimulating savings are undoubtedly the most reliable and would have the fewest negative economic side effects. However, any significant increase in total savings in Europe would be difficult to achieve without profound changes to some aspects of the economic and social system.
... Pour essayer de bien comprendre le processus de formation des bulles, il est important de faire la distinction entre les résultats globaux irrationnels de décisions individuelles et la rationalité des comportements individuels comme l'a soulignéKindleberger (1978): «Les marchés peuvent en certaines occasions se comporter d'une manière déstabilisatrice, globalement irrationnelle, même si chaque participant se comporte rationnellement.» Ce genre de précision aide à dissiper certaines confusions inutiles.En nous inspirant d'une réflexion d'Orléan (1989) selon laquelle les opérateurs sur le marché ne sont pas nécessairement les mêmes et leurs anticipations diffèrent du point individuel, nous voyons que la rationalité n'est pas uniforme sur le marché. Or, ce problème d'uniformité peut amener à plusieurs manières différentes de définir la rationalité du point de vue des individus. ...
Ce mémoire analyse la question de la formation des bulles spéculatives sur les marchés américain et canadien du logement. Il semble évident que l'hypothèse de bulle est plus probable sur le marché américain du logement que sur le marché canadien du logement en raison de la plus forte augmentation des prix sur le premier que sur le deuxième sous la période (1990T1-2008T4). Mais l'hypothèse de bulle sur le marché américain du logement n'est pas elle-même évidente. Savoir si pareille hypothèse se vérifie a été notre point de départ. Une vérification de cette hypothèse devra montrer la validité de tout un ensemble d'affirmations trouvées dans la littérature en faveur de l'hypothèse de bulle sur le marché américain du logement vers les années 2000. Une approche d'évaluation des actifs financiers basée sur des tests ADF et des tests de cointégration à la Johansen est utilisée à cette fin. Les résultats confirment la présence d'une bulle immobilière aux États-Unis pendant la sous-période
2002-2006 et infirment une telle hypothèse pour le Canada.
En outre, nous sommes préoccupés par la question de l'efficience de ces deux marchés. Dans la mesure où le marché américain du logement présente les caractéristiques d'une bulle dont la présence a été testée, l'hypothèse la plus probable est celle d'une plus forte efficience du marché canadien aux dépens du marché américain. Une analyse comparative des prix des logements sur ces deux marchés devra fournir une explication adéquate de cet écart hypothétique de performance en faveur du marché canadien. Nous voulons ensuite montrer pourquoi un tel écart de performance se vérifie. Enfin, l'explication de cet écart est utile pour la définition par les instances concernées de politiques publiques permettant de prévenir et de combattre la présence de bulles spéculatives dans les prix des maisons. ______________________________________________________________________________ MOTS-CLÉS DE L’AUTEUR : Bulles spéculatives, Prix des logements, Évaluation des actifs financiers, Efficience de marché.
... D'un point de vue théorique, les modélisations basées sur la quête d'information (e.g. Bikhchandani, Hirshleifer et Welch, 1992 ;Banerjee, 1992 ;Orléan, 1989 ;Topol, 1991, Lux, 1995, Lee, 1998) ont donné un fondement rationnel au mimétisme. Le fait de suivre le mouvement du marché ou les interventions d'un acteur particulier s'explique logiquement dans un environnement d'informations imparfaites. ...
The mimetism observed on financial market is often explained by an individual choice. These explanations do not consider social influences of norms, organization and institutions. We propose to analyze the social roots of financial imitation by considering decision done by mutual funds’ managers. Our analysis is based on interviews and mobilized Institutional Theory.
Starting from the definition of “probability” which provides an approach to monetary and real determinants of exchange rates, that paper tries to explain the relation-ships between the investment choices, business and exchanges rates cycles. The methodological framework is based on the Engel and Hamilton (1991) statistical investigations and an expectation modelling according to Bernanke (1983) work. The empirical results point out, on one hand, a very high option value for the investors in the real sector with respect to the monetary and financial assets. On the other hand, an option value differential according to the countries involved in the international investment process is proved.
The effectiveness of Central Bank interventions depends on the forces which challenge the exchange rates target in the foreign exchange market (e.g. EMS). In this regard, an agreement appears to be emerging today among Central Bankers, but also among economists, to take into consideration the heterogeneous nature and behaviour of the agents acting in international financial markets (the role of ‘noise traders’, the mimetic effects, limited rationality, etc.). The management strategies of share portfolios and inter-bank trading in the very short term represent a considerable potential, which responds substantially to an opinion logic on future exchanges rates and which can provoke, in certain situations, the triggering of speculative behaviour which feeds the direct confrontation of the actors in the market and the mimetic effects. Such crises appear where there is a lack of credibility in the prevailing rate which the authorities wish to see maintained (for example, if the macroeconomic situation of a country creates a number of alternative scenarios in monetary or budgetary matters). But the size, progress and outcome of the crisis depend on endogenous mechanisms in the market which the Central Bank must attempt to control.
'Corporate Governance Adrift is a challenging book ... the authors have succeeded in creating a work that is consistently fascinating and an argument that is lucid and gripping without ever compromising its intellectual weight.' - Manifest Recent corporate governance scandals have brought to the fore the inherent contradictions of a capitalism dominated by financial markets. This challenging book by Michel Aglietta and Antoine Rebérioux argues that capitalism's basic premise - that companies must be managed in the sole interest of their shareholders - is incongruent with the current environment of liquid markets, profit-hungry investors and chronic financial instability. The authors advocate rather that a company should be managed as an institution where common objectives are developed for all stakeholders, and that this democratic principle should be extended to the management of collective savings to reduce macro-financial instability. These two conditions, they contend, could make contemporary capitalism a vehicle for social progress. © The Saint-Gobain Centre for Economic Studies 2005. All rights reserved.
Stock bubbles on french markets in the 19th century
Between 1719 and 2009, French stock market bubbles exhibit different patterns depending on the magnitude of the rise and the fall in prices. The impact of the fall in prices is more significant, since prices may remain high for a long time. The phenomenon of rising prices is always observable across the whole market. The technological factor does not, therefore, seem to be crucial during the 1929 bubble. A dividend yield which is far from its historical average points out a bubble. It helps to predict future prices and evolves with long-term interest rates in a coordinated manner. Austrian theory offers an explanation of bubbles based on disruption of interest rates. This theory is tested on French data for a 150-year period based on a hypothesis concerning the behaviour of interest rates.
The scientific study of complex systems has transformed a wide range of disciplines in recent years, enabling researchers in both the natural and social sciences to model and predict phenomena as diverse as earthquakes, global warming, demographic patterns, financial crises, and the failure of materials. In this book, Didier Sornette boldly applies his varied experience in these areas to propose a simple, powerful, and general theory of how, why, and when stock markets crash.Most attempts to explain market failures seek to pinpoint triggering mechanisms that occur hours, days, or weeks before the collapse. Sornette proposes a radically different view: the underlying cause can be sought months and even years before the abrupt, catastrophic event in the build-up of cooperative speculation, which often translates into an accelerating rise of the market price, otherwise known as a "bubble." Anchoring his sophisticated, step-by-step analysis in leading-edge physical and statistical modeling techniques, he unearths remarkable insights and some predictions--among them, that the "end of the growth era" will occur around 2050.Sornette probes major historical precedents, from the decades-long "tulip mania" in the Netherlands that wilted suddenly in 1637 to the South Sea Bubble that ended with the first huge market crash in England in 1720, to the Great Crash of October 1929 and Black Monday in 1987, to cite just a few. He concludes that most explanations other than cooperative self-organization fail to account for the subtle bubbles by which the markets lay the groundwork for catastrophe.Any investor or investment professional who seeks a genuine understanding of looming financial disasters should read this book. Physicists, geologists, biologists, economists, and others will welcomeWhy Stock Markets Crashas a highly original "scientific tale," as Sornette aptly puts it, of the exciting and sometimes fearsome--but no longer quite so unfathomable--world of stock markets.
Recent developments in world food markets stress the importance of identifying the sources of food price volatility. This paper develops a nonlinear Cobweb model with endogenous volatility. It supplements the famous Deaton and Laroque model based on exogenous fluctuations and storage. As with Deaton and Laroque, it leads to price series with positive skewness and autocorrelation, similar to actual commodity prices.
In the midst of the ultra modernity of stock exchanges and financial markets, certain practitioners are increasingly using forecasting models of changes in rates whose scientific rationality is particularly contested. We refer to ‘technical analysis’, or, in the jargon of finance, of ‘chartism’. The adherents of this practice affirm that their models offer the possibility of detecting and of reading, by means of stereotyped graphical configurations, rising or falling market trends. Now, for a large number of people who hold scientific economic and financial theories to describe the ‘nature’ of changes in rates as so many random and unpredictable phenomena, these models arise above all from the sphere of ‘superstition’ and ‘beliefs’, in the worst sense of the term. To listen to them, one would think there was hardly any difference between sorcery, prophecy, and chartism, since in short: “it works because people believe in it”. These are remarks that can only arouse the curiosity of the anthropologist, because they actually serve merely to recall epistemologica! controversies that depend on the rationality and the irrationality of observed practices and debates in various cultures. At the heart of these contradictory debates, it is precisely prophecy as a cultural mode of managing unforeseen events that has been the subject of multiple anthropological, historical, and epistemological studies which can, in a comparative perspective, clarify the structure and functioning of forecasting tools employed by the chartists in the context of financial speculation.
This paper presents an interpretation of major changes affecting the modern economy. Our postulate is that the defining trend is the shift to the intangible. The source of economic value and wealth is no longer the production of material goods but the creation and manipulation of dematerialised content. The logic of dematerialisation is pervasive and ubiquitous and affects all sectors and activities. It profoundly transforms economic relationships and interactions, the ways firms and markets are organised and transactions are carried out It is also unsettling, to the extent that it runs squarely against some of the key tenets of the conventional logic of economics. The intangible economy raises a whole series of measurement issues. More fundamentally, it changes the role, the function, and the perception of economic measurement data. Official agencies no longer have the monopoly of economic data: a lively and diversified measurement and monitoring industry has emerged. Statisticians need to undertake a comprehensive appraisal of their business. Adapting to the new environment will require major changes in three key areas: conceptual foundations, modus operandi and temporal outlook. If measurement systems are to capture the essence of the economy of today and tomorrow, intangibles have to move from the periphery to the core of these systems.
This paper contributes to the debate on the effects of World Trade Organisation (WTO) negotiations on the liberalization of agricultural trade and the dismantling of the Common Agricultural Policy. Using a critical view on computable general equilibrium (CGE) models expressed by three French authors, it shows that agricultural markets are neither imperfect in terms of the theory of equilibrium, nor unstable, in terms of the French theory of Convention. It outlines the role of entrepreneurs, which economic theory has sometimes forgotten.
This review is a partial synthesis of the book ``Why stock market crash'' (Princeton University Press, January 2003), which presents a general theory of financial crashes and of stock market instabilities that his co-workers and the author have developed over the past seven years. The study of the frequency distribution of drawdowns, or runs of successive losses shows that large financial crashes are ``outliers'': they form a class of their own as can be seen from their statistical signatures. If large financial crashes are ``outliers'', they are special and thus require a special explanation, a specific model, a theory of their own. In addition, their special properties may perhaps be used for their prediction. The main mechanisms leading to positive feedbacks, i.e., self-reinforcement, such as imitative behavior and herding between investors are reviewed with many references provided to the relevant literature outside the confine of Physics. Positive feedbacks provide the fuel for the development of speculative bubbles, preparing the instability for a major crash. We demonstrate several detailed mathematical models of speculative bubbles and crashes. The most important message is the discovery of robust and universal signatures of the approach to crashes. These precursory patterns have been documented for essentially all crashes on developed as well as emergent stock markets, on currency markets, on company stocks, and so on. The concept of an ``anti-bubble'' is also summarized, with two forward predictions on the Japanese stock market starting in 1999 and on the USA stock market still running. We conclude by presenting our view of the organization of financial markets. Comment: Latex 89 pages and 38 figures, in press in Physics Reports
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