Staggered updating in an artificial financial market

被引：8

作者：

Georges, Christophre ^{[1
]}

机构：

[1] Hamilton Coll, Dept Econ, Clinton, NY 13323 USA

来源：

JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 2008年 / 32卷 / 09期

关键词：

learning; expectations; agent-based modeling;

D O I：

10.1016/j.jedc.2007.11.002

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We consider an environment in which traders search for trading opportunities and update their forecast rules at random intervals by OLS. The staggering of this updating process across traders allows differences in opinion to persist over time, generating nontrivial price dynamics. The nature of these dynamics is sensitive to the degree of overparameterization of forecast rules relative to market fundamentals. (C) 2008 Elsevier B.V. All rights reserved.

引用

页码：2809 / 2825

页数：17

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