Information dissemination in an experimentally based agent-based stock market

Journal of Economic Interaction and Coordination - Tập 8 - Trang 179-209 - 2013
Jakob Grazzini1
1Institute of Economic Theory and Quantitative Methods, Catholic University of Milan, Milano, Italy

Tóm tắt

This paper builds an agent-based model to reproduce the results of an experimental stock market that studies how the market aggregates private information. The aim is to use experiments and agent-based modeling to analyze the trading behavior in experimental stock markets. Using the experimental environment and results, it is possible to formulate a hypothesis about the subjects’ behavior and thereby formalize (algorithmically) the trading behavior in an agent-based model. This may lead to a better understanding of how the market converges to an equilibrium and of the mechanism that allows dissemination of private information in the market.

Tài liệu tham khảo

Anufriev M, Hommes C (2012) Evolutionary selection of individual expectations and aggregate outcomes in asset pricing experiments. Am Econ J Microecon 4(4):35–64 Anufriev M, Arifovic J, Ledyard J, Panchenko V (2011) Efficiency of continuous double auctions under individual evolutionary learning with full or limited information. J Evol Econ 1–35. doi:10.1007/s00191-011-0230-8 Axtell R (2000) Why agents? On the varied motivations for agent computing in the social sciences. Center on Social and Economic Dynamics Working Paper (17) Barner M, Feri F, Plott CR (2005) On the microstructure of price determination and information aggregation with sequential and asymmetric information arrival in an experimental asset market. Ann Financ 1:73–107 Boero R, Bravo G, Castellani M, Squazzoni F (2010a) Why bother with what others tell you? An experimental data-driven agent-based model. J Artif Soc Soc Simul 13(3). http://jasss.soc.surrey.ac.uk/13/3/6.html Bravo G, Boero R, Squazzoni F (2012) Trust and partner selection in social networks: an experimentally grounded model. Soc Netw 34(4):481–492 Camerer C, Weigelt K (1991) Information mirages in experimental asset markets. J Bus 64(4):463–493 Chan NT, LeBaron B, Lo AW, Poggio T (2001) Agent-based models of financial markets: a comparison with experimental markets. MIT Sloan Working Paper (4195–01) Cliff D, Bruten J (1997) Minimal-intelligence agents for bargaining behaviors in market based environments. HP Laboratories Bristol (HPL-97-91) Contini B, Leombruni R, Richiardi M (2007) Exploring a new expace the complementarities between experimental economics and agent-based computational economics. J Soc Complex 3(1):13–22 Copeland TE, Friedman D (1986) The effects of sequential information arrival on asset prices: an experimental study. J Financ 42(3):763–797 Copeland TE, Friedman D (1991) Partial revelation of information in experimental asset markets. J Financ 46(1):265–295 Duffy J (2006) Agent-based models and human subject experiments. In: Handbook of computational economics, vol 2. Elsevier, Amsterdam, pp 949–1011 Duffy J, Ünver MU (2006) Asset price bubbles and crashes with near-zero-intelligence traders. Econ Theory 27:537–563 Epstein JM, Axtell R (1996) Growing artificial societies: social science from the bottom up. The MIT Press, Cambridge Fano S, LiCalzi M, Pellizzari P (2011) Convergence of outcomes and evolution of strategic behavior in double auctions. J Evol Econ. doi:10.1007/s00191-011-0226-4 Forsythe R, Lundholm R (1990) Information aggregation in an experimental market. Econometrica 58(2):309–347 Gjerstad S, Dickhaut J (1998) Price formation in double auctions. Games Econ Behav 22(1):1–29 Gjerstad S, Sachat JM (2007) Individual rationality and market efficiency. Institute for Research in the Behavioral, Economic and, Management Science (1204) Gneezy U (1996) Probability judgments in multi-stage problems: experimental evidence of systematic biases. Acta Psychol 93:59–68 Gode DK, Sunder S (1993) Allocative efficiency of markets with zero-intelligence traders: market as a partial substitute for individual rationality. J Polit Econ 101(1):119–137 Grazzini J (2012) Analysis of the emergent properties: stationarity and ergodicity. J Artif Soc Soc Simul 15(2) Holden CW, Subrahmanyam A (1992) Long-lived private information and imperfect competition. J Financ 47(1):247–270 Hommes C (2011) The heterogeneous expectations hypothesis: some evidence from the lab. J Econ Dyn Control 35:1–24 Hommes C, Sonnemans J, Tunistra J, van de Velde H (2005) Coordination of expectations in asset pricing experiments. Rev Financ Stud 18(3):955–980 King RR, Smith VL, Williams A, van Boening M (2001) The robustness of bubbles and crashes in experimental stock markets. Econometrica 69(4):831–859 Kyle AS (1985) Continuous auction and insider trading. Econometrica 53(6):1315–1335 Lei V, Noussair CN, Plott CR (2001) Nonspeculative bubbles in experimental asset markets: lack of common knowledge of rationality vs actual irrationality. Econometrica 69(4):831–859 Mitchell TM (1997) Machine learning. McGraw-Hill, New York Noussair C, Robin S, Ruffleux B (2001) Price bubbles in laboratory asset markets with constant fundamental values. Exp Econ 4:87–105 Plott CR (2000) Market as information gathering tools. South Econ J 67(1):1–15 Plott CR, Sunder S (1982) Efficiency of experimental security markets with insider information: an application of rational-expectations models. J Polit Econ 90(4):663–698 Plott CR, Sunder S (1988) Rational expectations and the aggregation of diverse information in laboratory security markets. Econometrica 56(5):1085–1118 Smith VL (1962) An experimental study of competitive market behavior. J Polit Econ 70(2):111–137 Smith VL (1982) Microeconomic systems as an experimental science. Am Econ Rev 72:923–955 Smith VL, Suchanek GL, Williams AW (1988) Bubbles, crashes, and endogenous expectations in experimental spot asset markets. Econometrica 56(5):1119–1151 Smith VL, van Boening M, Wellford CP (2000) Dividend timing and behavior in laboratory asset markets. Econ Theory 16(3):567–583 Tversky A, Kahneman D (1974) Judgment under uncertainty: heuristics and biases. Science 185(4157): 1124–1131 Zhang T, Brorsen BW (2011) Oligopoly firms with quantity-price strategic decisions. J Econ Inter Coord 6:157–170