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
Abstract
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.