Rate of Return Parity with Robot Asset Traders
AbstractHuman populated experimental asset markets produce data with two major qualitative consistencies; finite price bubbles and rate of return parity. Robot traders following different behavioural rules are used to create data that is qualitatively similar to that produced by human subjects in a laboratory setting. A trend pricing component of behaviour is required for robots to generate finite price bubbles. A single arbitrageur in combination with trend pricing and simple profit maximization is required to generate rate of return parity. Copyright Springer Science+Business Media, LLC 2007
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Bibliographic InfoArticle provided by Society for Computational Economics in its journal Computational Economics.
Volume (Year): 29 (2007)
Issue (Month): 1 (February)
interest rate parity; rate of return parity; arbitrage; C89; F3; G12;
Find related papers by JEL classification:
- C89 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Other
- F3 - International Economics - - International Finance
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
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