MetaCartSign in to MyCiteSeer

Include Citations | Advanced Search | Help

Include Citations | Advanced Search | Help

  Information Dissemination and Aggregation in Asset Markets with Simple Intelligent Traders (1998) [5 citations — 1 self]

Download:
Download as a PDF | Download as a PS
by Nicholas Chan, Blake Lebaron, Andrew Lo, Tomaso Poggio
MIT Arti cial Intelligence Laboratory Technical Memorandum
ftp://publications.ai.mit.edu/ai-publications/1500-1999/AIM-1646.ps
Add To MetaCart

Abstract:

This publication can be retrieved by anonymous ftp to publications.ai.mit.edu. The pathname for this publication is: ai-publications/1500-1999/AIM-1646.ps Various studies of asset markets have shown that traders are capable of learning and transmitting information through prices in many situations. In this paper we replace human traders with intelligent software agents in a series of simulated markets. Using these simple learning agents, we are able to replicate several features of the experiments with human subjects, regarding (1) dissemination of information from informed to uninformed traders, and (2) aggregation of information spread over different traders.

Citations

106 Allocative Efficiency of Markets with Zero-Intelligence Traders: Market as a Partial Substitute for Individual Rationality – Gode, Sunder - 1993
100 Asset pricing under endogenous expectations in an artificial stock – Arthur, Holland, et al. - 1997
51 The Behavior of the Exchange Rate in the Genetic Algorithm and Experimental Economies – Arifovic - 1996
39 Rational expectations and the aggregation of diverse information in a laboratory security markets,” Econometrica 56 – Plott, Sunder - 1988
25 Efficiency of Experimental Security Markets with Insider Information: An Application of Rational-Expectations Models – Plott, Sunder - 1982
24 Information aggregation in an experimental market – Forsythe, Lundholm - 1990
13 Explaining The Facts With Adaptive Agents: The Case of Mutual Fund Flows – Lettau - 1997
12 Dynamic Stock Markets with Multiple Assets – O’Brien, Srivastava - 1991
12 Zero is not enough: On the lower limit of agent intelligence for continuous double auction markets – Cliff, Bruten - 1997
11 Asset valuation in an experimental market – Forsythe, Palfrey, et al. - 1982
10 Bayesian equilibrium in double auctions populated by biased heuristic traders – Jamal - 1996
8 Allocative e ciency of markets with zero intelligence traders – Gode - 1993
4 Behavior of trading automota in a computerized double auction market – Rust, Miller - 1992
2 Zero is not enough: On the lower limit of agent intelligence for continuous double auction markets – unknown authors - 1997
2 Market for information: Experimental edvidence – Sunder - 1992
1 forthcoming 1998), `Ragent based computational nance: Suggested readings and early research – LeBaron
1 Evolutionary phenomena for social dynamics – Lindgren - 1992
1 forthcoming 1998), `Ragent based computational finance: Suggested readings and early research – LeBaron
View or Download | Add to My Collection | Correct Errors