How does learning affect market liquidity? A simulation analysis of a double-auction financial market with portfolio traders

DOI10.1016/j.jedc.2007.01.007zbMath1201.91185OpenAlexW1979811815MaRDI QIDQ1017072

Annalisa Russino, Andrea Consiglio

Publication date: 18 May 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2007.01.007

zbMATH Keywords

learningliquidityartificial marketsautomated auctionsportfolio choicesreturns dynamics

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Rationality and learning in game theory (91A26) Portfolio theory (91G10) Agent technology and artificial intelligence (68T42)

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Cites Work

• Properties of equilibrium asset prices under alternative learning schemes
• An introduction to copulas. Properties and applications
• The practice of portfolio replication. A practical overview of forward and inverse problems
• Heterogeneous beliefs and the non-linear cobweb model
• Prospect Theory and Asset Prices
• Prospect Theory: An Analysis of Decision under Risk
• Testing the Gaussian copula hypothesis for financial assets dependences
• Fundamentalists clashing over the book: a study of order-driven stock markets
• Myopic Loss Aversion and the Equity Premium Puzzle
• A simulation analysis of the microstructure of an order driven financial market with multiple securities and portfolio choices
• SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION

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