Adaptive Traders and The Design of Financial Markets  

Oleh:

Pouget, Sebastien

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 62 no. 6 (Dec. 2007), page 2835-2863.
Topik: Trader; Financial Market
Fulltext: p 2835.pdf (413.45KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This paper studies a financial market populated by adaptive traders. Learning is modeled following Camerer and Ho (1999). A call market and a Walrasian tatonement are compared in an environment in which both institutions have the same Nash and competitive equilibrium outcomes. When traders learn via a belief-based model, equilibrium is discovered in both types of markets. In contrast, when traders learn via a reinforcement-based model, convergence to equilibrium is achieved in the Walrasian tatonement but not in the call market. This paper suggest that market mechanisms can be designed to foster trader's learning of equilibrium strategies.

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