Le journal Wired a récemment proposé un intéressant article sur l’apport de la neuroéconomie pour comprendre et anticiper la formation de bulles d’actifs. On y apprend tout d’abord que la formation de bulles est observée dans le cadre d’expériences contrôlées reproduisant le fonctionnement d’un marché, alors même que l’information sur la « vraie » valeur de l’actif est connue :
Consider an economics experiment led by Colin Camerer, a neuroeconomist at Caltech. He set up a stock exchange in his lab, consisting of shares in a single pretend company, and invited Caltech undergrads to participate. (The simulation was inspired by similar research first done by Vernon Smith, the Nobel Prize-winning economist.) At the start of the market, every “investor” was given two shares and a small amount of money to buy more shares. In order to accurately simulate the real stock market, Camerer made the shares pay a small dividend of 24 cents per period, with the market lasting for fifteen periods. If a student owned one share for the entire game, they earned a total of $3.60, or $.24 x 15.
Camerer designed the experiment so that the value of the shares was transparent. For example, one share at the start of the game was worth $3.60, since that’s how much a student could expect to earn in dividends. By round two, that same share was only worth $3.36. In the next round, it would be worth $3.12, and so on. If the students were rational traders, the shares would steadily decrease in value, until they ended up being worth only 24 cents in the last round.
But that isn’t what happened. As soon as trading began, the students bid the price of each share above $3.60, as they engaged in a typical bout of irrational exuberance. What was strange, however, was the persistence of this speculative bubble. Even when the shares were worth less than $1, students were still bidding more than $2.50. The lesson is that even in a transparent marketplace — the value of the investment was perfectly obvious — bubbles inevitably develop. We can’t help but speculate.
Plus intéressant encore, les comportements spéculatifs menant à la formation de bulles semblent être la contrepartie d’une activité neuronale clairement identifiable. Le mécanisme à la base de la formation des bulles serait un mode d’apprentissage spécifique propre à l’espèce humaine, « l’apprentissage fictif » (fictive learning), qui désigne notre capacité à apprendre à partir de scénarios hypothétiques et de contrefactuels :
Unfortunately, fictive learning can also lead us astray, which is what happens during financial bubbles. Investors, after all, are constantly engaging in fictive learning, as they compare their actual returns against the returns that might have been, if only they’d sold their shares before the crash or bought Google stock when the company first went public. And so, in 2007, Montague began simulating stock bubbles in a brain scanner, as he attempted to decipher the neuroscience of irrational speculation. His experiment went like this: Each subject was given $100 and some basic information about the “current” state of the stock market. After choosing how much money to invest, the players watched nervously as their investments either rose or fell in value. The game continued for 20 rounds, and the subjects got to keep their earnings. One interesting twist was that instead of using random simulations of the stock market, Montague relied on distillations of data from famous historical markets. Montague had people “play” the Dow of 1929, the Nasdaq of 1998 and the S&P 500 of 1987, so the neural responses of investors reflected real-life bubbles and crashes.
Montague, et. al. immediately discovered a strong neural signal that drove many of the investment decisions. The signal was fictive learning. Take, for example, this situation. A player has decided to wager 10 percent of her total portfolio in the market, which is a rather small bet. Then, she watches as the market rises dramatically in value. At this point, the investor experiences a surge of regret, which is a side-effect of fictive learning. (We are thinking about how much richer we would be if only we’d invested more in the market.) This negative feeling is preceded by a swell of activity in the ventral caudate, a small area in the center of the cortex. Instead of enjoying our earnings, we are fixated on the profits we missed, which leads us to do something different the next time around. As a result investors in the experiment naturally adapted their investments to the ebb and flow of the market. When markets were booming, as in the Nasdaq bubble of the late 1990s, people perpetually increased their investments. In fact, many of Montague’s subjects eventually put all of their money into the rising market. They had become convinced that the bubble wasn’t a bubble. This boom would be different.
And then, just like that, the bubble burst. The Dow sinks, the Nasdaq collapses, the Nikkei implodes. At this point investors race to dump any assets that are declining in value, as their brain realizes that it made some very expensive mistakes. Our investing decisions are still being driven by regret, but now that feeling is telling us to sell. That’s when we get a financial panic.