@inbook{ebca38b68bfb46029e5d47aceee92f3e,
title = "The Dynamics of Quote Prices in an Artificial Financial Market with Learning Effects",
abstract = "In this paper we study the evolution of bid and ask prices in an electronic financial market populated by portfolio traders who optimally choose their allocation strategy on the basis of their views about market conditions. We design an order book market system where agents enter the market sequentially and trade to adjust their portfolio according to their optimal target allocations. They apply a copula function to generate the joint distribution of returns to be used to determine the optimal portfolio allocations. We create asynchronous updating assuming that different groups of agents entered the market at different moments in time. We simplify the optimization problem assuming thatinvestors are myopic: at the beginning of the investment horizon they choose their portfolios as if there will be no further trading.",
keywords = "copula function, financial market, learning process, market volatility, portfolio optimization, copula function, financial market, learning process, market volatility, portfolio optimization",
author = "Annalisa Russino and Andrea Consiglio and Valerio Lacagnina and Valerio Lacagnina and Andrea Consiglio and Annalisa Russino",
year = "2006",
language = "English",
isbn = "978-3-540-37247-9",
series = "LECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS",
pages = "63--75",
booktitle = "Advances in Artificial Economics",
}