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Agents interaction and price dynamics: evidence from the laboratory
dc.contributor.author | Caferra, Rocco | |
dc.contributor.author | Tedeschi, Gabriele | |
dc.contributor.author | MORONE, ANDREA | |
dc.date.accessioned | 2023-05-10T07:19:24Z | |
dc.date.available | 2023-05-10T07:19:24Z | |
dc.date.issued | 2022-08-26 | |
dc.identifier.citation | 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/s11403-022-00366-5 | ca_CA |
dc.identifier.issn | 1860-711X | |
dc.identifier.issn | 1860-7128 | |
dc.identifier.uri | http://hdl.handle.net/10234/202443 | |
dc.description.abstract | 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. | ca_CA |
dc.format.extent | 24 p. | ca_CA |
dc.format.mimetype | application/pdf | ca_CA |
dc.language.iso | eng | ca_CA |
dc.publisher | Springer | ca_CA |
dc.relation.isPartOf | Journal of Economic Interaction and Coordination (2023) 18:251–274 | ca_CA |
dc.rights | Springer Nature or its licensor holds exclusive rights to this article under a publishing agreement with the author(s) or other rightsholder(s); author self-archiving of the accepted manuscript version of this article is solely governed by the terms of such publishing agreement and applicable law. | ca_CA |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | ca_CA |
dc.subject | herding | ca_CA |
dc.subject | price dynamics | ca_CA |
dc.subject | experimental double action market | ca_CA |
dc.subject | network theory | ca_CA |
dc.title | Agents interaction and price dynamics: evidence from the laboratory | ca_CA |
dc.type | info:eu-repo/semantics/article | ca_CA |
dc.subject.jel | D03 | ca_CA |
dc.subject.jel | D53 | ca_CA |
dc.subject.jel | D85 | ca_CA |
dc.subject.jel | G12 | ca_CA |
dc.identifier.doi | https://doi.org/10.1007/s11403-022-00366-5 | |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | ca_CA |
dc.type.version | info:eu-repo/semantics/acceptedVersion | ca_CA |
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