### Abstract

Lingua originale | English |
---|---|

Titolo della pubblicazione ospite | Artificial Economics |

Pagine | 215-226 |

Numero di pagine | 12 |

Stato di pubblicazione | Published - 2006 |

### Serie di pubblicazioni

Nome | LECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS |
---|

### Fingerprint

### All Science Journal Classification (ASJC) codes

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

### Cita questo

*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.

Risultato della ricerca: Conference contribution

*Artificial Economics.*LECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS, pagg. 215-226.

}

TY - GEN

T1 - Learning and the Price Dynamics of a Double-Auction Financial Market with Portfolio Traders

AU - Russino, Annalisa

AU - Consiglio, Andrea

AU - Lacagnina, Valerio

AU - Lacagnina, Valerio

AU - Consiglio, Andrea

AU - Russino, Annalisa

PY - 2006

Y1 - 2006

N2 - 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.

AB - 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.

UR - http://hdl.handle.net/10447/3320

M3 - Conference contribution

SN - 978-3-540-28578-6; 978-3-540-28547-2

T3 - LECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS

SP - 215

EP - 226

BT - Artificial Economics

ER -