Some Preliminary Experiments with the Financial "Toy-Room"

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/4457 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/4457 http://eprints.org/relation/isCoversheetVersionOf https://pure.iiasa.ac.at/id/document/4457 archive 351 disk0/00/00/55/60 2016-01-15 02:10:08 2021-08-27 17:16:23 2016-01-15 02:10:08 monograph show 2 Chiaromonte F. 1597 Berte M. 1694 Some Preliminary Experiments with the Financial "Toy-Room" pub iis_ecn prog_ted 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). 1998-10 published IR-98-091 IR-98-091 1185 1148 public interim_report IIASA, Laxenburg, Austria 20 FALSE info:eu-repo/semantics/book