Name
Abstract | ||
|---|---|---|
We study the relation between the trading behavior of agents and volatility
in toy markets of adaptive inductively rational agents. We show that excess
volatility, in such simplified markets, arises as a consequence of {\em i)} the
neglect of market impact implicit in price taking behavior and of {\em ii)}
excessive reactivity of agents. These issues are dealt with in detail in the
simple case without public information. We also derive, for the general case,
the critical learning rate above which trading behavior leads to turbulent
dynamics of the market. |
Year | DOI | Venue |
|---|---|---|
2001 | 10.2139/ssrn.237128 | Advances in Complex Systems |
Keywords | DocType | Volume |
el farol bar problem,market impact,minority games,adaptive learning.,statistical mechanics | Journal | 4 |
Issue | Citations | PageRank |
1 | 1 | 0.35 |
References | Authors | |
0 | 2 | |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Matteo Marsili | 1 | 149 | 17.65 |
| Damien Challet | 2 | 11 | 2.23 |