We study a financial market populated by heterogeneous agents, whose decisions are driven by “animal spirits”. Each agent may have either correct, optimistic or pessimistic beliefs about the fundamental value, which can change from time to time based on an evolutionary mechanism. The evolutionary selection of beliefs depends on a weighted evaluation of the general market sentiment perceived by the agents and on a profitability measure of the existent strategies. As the relevance given to the sentiment index increases, a herding phenomenon in agent behavior may occur and animal spirits can drive the market toward polarized economic regimes, which coexist and are characterized by persistent high or low levels of optimism and pessimism. This conduct is detectable from agents polarized shares and beliefs, which in turn influence the price level. Such polarized regimes can consist in stable steady states or can be characterized by endogenous dynamics, generating persistent alternating waves of optimism and pessimism, as well as return distributions displaying the typical features of financial time series, such as fat tails, excess volatility and multifractality. Moreover, we show that if the sentiment has no or low relevance on belief selection, those stylized facts are abated or are missing from the simulated time series.

我们研究了一个由异质代理人组成的金融市场，他们的决定是由“动物精神”驱动的。每个代理可能对基本价值有正确、乐观或悲观的信念，这些信念会根据进化机制不时发生变化。信念的进化选择取决于对代理感知的一般市场情绪的加权评估以及现有策略的盈利能力度量。随着情绪指数的相关性增加，代理行为中可能会出现羊群现象，动物精神可以推动市场走向两极分化的经济体制，这种经济体制并存，并以持续高或低的乐观和悲观为特征。这种行为可以从代理商两极分化的股票和信念中检测出来，进而影响价格水平。这种极化状态可以包括稳定的稳定状态，也可以表现为内生动态，产生持续的乐观和悲观交替波，以及显示金融时间序列典型特征的回报分布，如肥尾、过度波动和多重分形。此外，我们表明，如果情绪与信念选择没有相关性或相关性很低，那么这些风格化的事实就会减弱或从模拟时间序列中消失。