English, Article edition: TRADING BEHAVIOR AND EXCESS VOLATILITY IN TOY MARKETS MATTEO MARSILI; DAMIEN CHALLET

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Bookmark: http://trove.nla.gov.au/version/134222
Physical Description
  • article
Language
  • English

Edition details

Title
  • TRADING BEHAVIOR AND EXCESS VOLATILITY IN TOY MARKETS
Author
  • MATTEO MARSILI
  • DAMIEN CHALLET
Physical Description
  • article
Notes
  • 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 (i) the neglect of market impact implicit in price taking behavior and of (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.
  • Statistical mechanics, El Farol bar problem, minority games, market impact, adaptive learning
  • RePEc:wsi:acsxxx:v:04:y:2001:i:01:p:3-17
Language
  • English
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