How does learning affect market liquidity? A simulation analysis of a double-auction financial market with portfolio traders

DOI10.1016/J.JEDC.2007.01.007MaRDI QIDQ1017072zbMATH OpenOpenAlexFDO

Authors Andrea Consiglio, Annalisa Russino

Publication date 18 May 2009

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2007.01.007

zbMATH Keywords

artificial marketsautomated auctionslearningliquidityportfolio choicesreturns dynamics

Mathematics Subject Classification ID

Agent technology and artificial intelligence (68T42) Rationality and learning in game theory (91A26) Auctions, bargaining, bidding and selling, and other market models (91B26) Portfolio theory (91G10)

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Cites work

• A simulation analysis of the microstructure of an order driven financial market with multiple securities and portfolio choices
• An introduction to copulas. Properties and applications
• Fundamentalists clashing over the book: a study of order-driven stock markets
• Heterogeneous beliefs and the non-linear cobweb model
• Myopic Loss Aversion and the Equity Premium Puzzle
• Properties of equilibrium asset prices under alternative learning schemes
• Prospect theory and asset prices
• Prospect Theory: An Analysis of Decision under Risk
• SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION
• Testing the Gaussian copula hypothesis for financial assets dependences
• The practice of portfolio replication. A practical overview of forward and inverse problems

Cited in

(5)

• Market liquidity and excess volatility: theory and experiment
• From lab experiments to the field: the case of a price formation model based on laboratory findings
• ADAPTIVE INVESTMENT STRATEGIES FOR PERIODIC ENVIRONMENTS
• Forecasting macroeconomic fundamentals in economic crises
• A simulation analysis of the microstructure of an order driven financial market with multiple securities and portfolio choices

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