Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5099828 | Journal of Economic Dynamics and Control | 2008 | 17 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Control and Optimization
Authors
Christophre Georges,