Some Preliminary Experiments with the Financial "Toy-Room"

Chiaromonte F & Berte M (1998). Some Preliminary Experiments with the Financial "Toy-Room". IIASA Interim Report. IIASA, Laxenburg, Austria: IR-98-091

[img]
Preview
Text
IR-98-091.pdf

Download (354kB) | Preview

Abstract

We describe some preliminary experiments realized with Financial "Toy-Room" (a micro-founded simulation environment for decentralized trade in a homogeneous financial asset). The experiments are aimed at testing the system, and exploring its flexibility in depicting specific contexts as sub-cases. For this purpose, we selected an issue that has been widely investigated in the literature: the existence and characterization of markets in which prices are (or are believed to be) "quality signals" passing information from informed to uninformed traders. In our out-of-equilibrium simulation analysis, we take agents to trade based on a "spread rule," and introduce "dis-synchronization" in agents' updating processes. Thus, we investigate how dis-synchronization, updating paces and spreads affect persistence of trade and the time-path of prices in extreme regimes (i.e. when all agents are informed, or all agents are uninformed).

Item Type: Monograph (IIASA Interim Report)
Research Programs: Technological and Economic Dynamics (TED)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 02:10
Last Modified: 18 Nov 2016 17:47
URI: http://pure.iiasa.ac.at/5560

Actions (login required)

View Item View Item

International Institute for Applied Systems Analysis (IIASA)
Schlossplatz 1, A-2361 Laxenburg, Austria
Phone: (+43 2236) 807 0 Fax:(+43 2236) 71 313