The effects of intelligence on price discovery and market efficiency
Authored by Chia-Hsuan Yeh
Date Published: 2008-12
DOI: 10.1016/j.jebo.2008.07.002
Sponsors:
National Science Council of Taiwan
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Model Documentation:
Other Narrative
Mathematical description
Model Code URLs:
Model code not found
Abstract
The influence of speculation on market performance has long been discussed. Under the framework of bounded rationality in which traders are endowed with different intelligence levels in terms of different learning styles or different representations of intelligence, we examine the effects of traders' intelligence on price discovery based on “intraday” data, and market efficiency. We find that intelligence does help improve market performance. However, the influence of different intelligence levels on the market crucially depends on the characteristics of learning styles OF the representation of intelligence. (C) 2008 Elsevier B.V. All rights reserved.
Tags
Agent-based modeling
Artificial stock market
Intelligence
Speculation
genetic programming