Information dissemination in an experimentally based agent-based stock market

Authored by Jakob Grazzini

Date Published: 2013-04

DOI: 10.1007/s11403-013-0109-x

Sponsors: European Union

Platforms: No platforms listed

Model Documentation: Other Narrative Pseudocode Mathematical description

Model Code URLs: Model code not found

Abstract

This paper builds an agent-based model to reproduce the results of an experimental stock market that studies how the market aggregates private information. The aim is to use experiments and agent-based modeling to analyze the trading behavior in experimental stock markets. Using the experimental environment and results, it is possible to formulate a hypothesis about the subjects' behavior and thereby formalize (algorithmically) the trading behavior in an agent-based model. This may lead to a better understanding of how the market converges to an equilibrium and of the mechanism that allows dissemination of private information in the market.

Tags

Agent-based modeling Asymmetric information Learning Experiments Stock market