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Modeling a Decentralized Asset Market: An Introduction to the Financial "Toy-Room"

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Francesca Chiaromonte
Giovanni Dosi

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Abstract

In this paper, we describe a micro-founded simulation enviroment for decentralized trade in financial asset. Within the philosophy of computer simulated "artificial markets", this enviroments allows one to experiment in a modular fashion with (i) individual characterizations in terms of behaviors and learning, (ii) different architectural and institutional traits of the market, and (iii) time-embedding of events at the system and the individual level.

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Paper provided by Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy in its series LEM Papers Series with number 1999/02.

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Date of creation: 12 Nov 1999
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Handle: RePEc:ssa:lemwps:1999/02

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  1. H. Tordjman, 1998. "Some General Questions About Markets," Working Papers ir98025, International Institute for Applied Systems Analysis. [Downloadable!]
  2. M. Valente, 1997. "Laboratory for Simulation Development User Manual," Working Papers ir97020, International Institute for Applied Systems Analysis. [Downloadable!]
  3. De Long, J Bradford, et al, 1990. " Positive Feedback Investment Strategies and Destabilizing Rational Speculation," Journal of Finance, American Finance Association, vol. 45(2), pages 379-95, June. [Downloadable!] (restricted)
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  4. Grossman, Sanford J & Stiglitz, Joseph E, 1980. "On the Impossibility of Informationally Efficient Markets," American Economic Review, American Economic Association, vol. 70(3), pages 393-408, June.
  5. Grossman, Sanford J & Stiglitz, Joseph E, 1976. "Information and Competitive Price Systems," American Economic Review, American Economic Association, vol. 66(2), pages 246-53, May.
  6. F. Chiaromonte & M. Berte, 1998. "Some Preliminary Experiments with the Financial "Toy-Room"," Working Papers ir98091, International Institute for Applied Systems Analysis. [Downloadable!]
  7. Blume, Lawrence & Easley, David, 1992. "Evolution and market behavior," Journal of Economic Theory, Elsevier, vol. 58(1), pages 9-40, October. [Downloadable!] (restricted)
  8. Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992. " Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," Journal of Finance, American Finance Association, vol. 47(5), pages 1731-64, December. [Downloadable!] (restricted)
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  9. De Long, J Bradford, et al, 1991. "The Survival of Noise Traders in Financial Markets," Journal of Business, University of Chicago Press, vol. 64(1), pages 1-19, January. [Downloadable!] (restricted)
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