On behaviour of agents on emerging capital markets

O. Hudak

Department of Corporate Finance
Faculty of Finance
Matej Bel University
Cesta na amfiteater 1
SK-974 01 Banska Bystrica
Slovak Republic


Behaviour of agents on capital markets /emerging markets, and developed markets as a limit of emerging markets/ is studied. We use description of exchange of information of agents on capital markets /buyers, sellers/, which are characterized by their risk aversion, which starts from their social behaviors in a group, from the topology of their interactions and from the statistical mechanics. A group of buyers and sellers is characterized by its microstates. The equilibrium /we neglect energy term and maximize the informational entropy/ of the group leads to macroscopic behaviour description of the group. Time development is also studied. The mean field method leads to existence to either one stable state which is intermediate between the state in which all agents behave as a one person /personal characteristics of agents are suppressed and their mass behaviour is present only/ and the state in which all agents are characterised by their risk aversion constant, either to two states which are the limiting ones described above. IN this later case the first state is not a stable state, the second one is a stable state. The states are characterized by the mean rate expected for a given time horizon and by the volatility of the market. expected for a given time horizon. We discuss properties of these states and their development, as well as development of some other characteristics of the market.