Learning and the Price Dynamics of a Double-Auction Financial Market with Portfolio Traders

Annalisa Russino, Andrea Consiglio, Valerio Lacagnina, Valerio Lacagnina, Andrea Consiglio, Annalisa Russino

Risultato della ricerca: Conference contribution

Abstract

In this paper we study the dynamics of price adjustments in a market where portfolio traders with bounded rationality and limited resources interact through a continuous, electronic open book. The market trading activity depends on the heterogeneity of agents' beliefs. We allow agents to hold arbitrary priors about the univariate marginal distribution of returns, while we assume that agents have a constant common view of the assets' association structure. We make agents update prior marginal distributions using past realized market prices.We show that asset price dynamics is strongly affected by the structure of the learning process. Under learning the price series show long run positive trends and become non-stationary. In particular, we underline the role of the assumed assets association structure in shaping asset price dynamics.
Lingua originaleEnglish
Titolo della pubblicazione ospiteArtificial Economics
Pagine215-226
Numero di pagine12
Stato di pubblicazionePublished - 2006

Serie di pubblicazioni

NomeLECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS

Fingerprint

Double Auction
Financial Markets
Marginal Distribution
Bounded Rationality
Prior distribution
Long-run
Learning Process
Univariate
Adjustment
Update
Learning
Price dynamics
Traders
Double auction
Financial markets
Electronics
Resources
Series
Arbitrary
Market

All Science Journal Classification (ASJC) codes

  • Mathematics (miscellaneous)
  • Economics, Econometrics and Finance (miscellaneous)

Cita questo

Russino, A., Consiglio, A., Lacagnina, V., Lacagnina, V., Consiglio, A., & Russino, A. (2006). Learning and the Price Dynamics of a Double-Auction Financial Market with Portfolio Traders. In Artificial Economics (pagg. 215-226). (LECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS).

Learning and the Price Dynamics of a Double-Auction Financial Market with Portfolio Traders. / Russino, Annalisa; Consiglio, Andrea; Lacagnina, Valerio; Lacagnina, Valerio; Consiglio, Andrea; Russino, Annalisa.

Artificial Economics. 2006. pag. 215-226 (LECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS).

Risultato della ricerca: Conference contribution

Russino, A, Consiglio, A, Lacagnina, V, Lacagnina, V, Consiglio, A & Russino, A 2006, Learning and the Price Dynamics of a Double-Auction Financial Market with Portfolio Traders. in Artificial Economics. LECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS, pagg. 215-226.
Russino A, Consiglio A, Lacagnina V, Lacagnina V, Consiglio A, Russino A. Learning and the Price Dynamics of a Double-Auction Financial Market with Portfolio Traders. In Artificial Economics. 2006. pag. 215-226. (LECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS).
Russino, Annalisa ; Consiglio, Andrea ; Lacagnina, Valerio ; Lacagnina, Valerio ; Consiglio, Andrea ; Russino, Annalisa. / Learning and the Price Dynamics of a Double-Auction Financial Market with Portfolio Traders. Artificial Economics. 2006. pagg. 215-226 (LECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS).
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