Stock Prices in an Artificial Stock Market with Optimistic and Pessimistic Agents

This research aims to investigate, through simulation models, how the interaction among agents in an artificial stock market can affect the dynamics of asset prices. Thus, the study follows a different methodology for the analysis of prices by exploring the simulation of agents’ behavior in an artificial stock market. From the defining characteristics of heterogeneous agents, we set up an artificial stock market in which individuals interact, by demanding and supplying assets, driving the price of a stock to an equilibrium value. The results suggest that, under the assumption of utility maximizers agents with different expectations about future dividends, asset prices may under-react. The gradual change of prices observed in the sub-reaction confronts the efficient market hypothesis, in which all information is instantly