Agents interaction and price dynamics: evidence from the laboratory
comunitat-uji-handle:10234/9
comunitat-uji-handle2:10234/8643
comunitat-uji-handle3:10234/8644
comunitat-uji-handle4:
INVESTIGACIONMetadatos
Título
Agents interaction and price dynamics: evidence from the laboratoryFecha de publicación
2022-08-26Editor
SpringerISSN
1860-711X; 1860-7128Cita bibliográfica
Caferra, R., Tedeschi, G. & Morone, A. Agents interaction and price dynamics: evidence from the laboratory. J Econ Interact Coord 18, 251–274 (2023). https://doi.org/10.1007/s11403-022-00366-5Tipo de documento
info:eu-repo/semantics/articleVersión
info:eu-repo/semantics/acceptedVersionPalabras clave / Materias
Resumen
Using data collected from an experimental double auction market, we study the dynamics of interaction among traders. Our focus is on the effect the trading network has on price dynamics and price-fundamental convergence. ... [+]
Using data collected from an experimental double auction market, we study the dynamics of interaction among traders. Our focus is on the effect the trading network has on price dynamics and price-fundamental convergence. At the aggregate level, the network of empirical exchanges reveals properties that are dissimilar from random graphs and, in particular, high centrality and high clustering. Precisely, these properties are identifiable as the cause of price volatility and divergence from the fundamental value. At the microscopic level, we find out how the topological properties of the network derive from the behavior of traders. In fact, our findings show that it is the unbridled trading action of very centralized players who implement a minority game, to give rise to volatility clustering and arbitrage opportunities. [-]
Publicado en
Journal of Economic Interaction and Coordination (2023) 18:251–274Derechos de acceso
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info:eu-repo/semantics/openAccess
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info:eu-repo/semantics/openAccess
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