کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5099903 1377052 2007 28 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
How does learning affect market liquidity? A simulation analysis of a double-auction financial market with portfolio traders
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
How does learning affect market liquidity? A simulation analysis of a double-auction financial market with portfolio traders
چکیده انگلیسی
We study the relationship between liquidity and prices in an artificial financial market where portfolio traders with limited resources interact through a continuous, electronic open book. We depart from the standard asset pricing framework in two ways. First, we assume that investors have incomplete information about the distribution of returns. Second, we model the portfolio choice problem using prospect-type preferences. We model the utility function in terms of deviations of the portfolio growth rate from a specified target growth rate, and we assume that investors are more sensitive to downside movements. We show that the parameters defining the learning process affect the price dynamics through their impact on the variability of the market liquidity.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 31, Issue 6, June 2007, Pages 1910-1937
نویسندگان
, ,