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

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  • F. Chiaromonte
  • G. Dosi

Abstract

In this paper, the authors describe a micro-founded simulation environment for decentralized trade in a financial asset. Within the philosophy of computer-simulated "artificial markets", this environment 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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File URL: http://www.iiasa.ac.at/Publications/Documents/IR-98-115.pdf
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File URL: http://www.iiasa.ac.at/Publications/Documents/IR-98-115.ps
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Bibliographic Info

Paper provided by International Institute for Applied Systems Analysis in its series Working Papers with number ir98115.

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Date of creation: Oct 1998
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Handle: RePEc:wop:iasawp:ir98115

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  1. De Long, J Bradford, et al, 1990. " Positive Feedback Investment Strategies and Destabilizing Rational Speculation," Journal of Finance, American Finance Association, American Finance Association, vol. 45(2), pages 379-95, June.
  2. J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann,, . "The Survival of Noise Traders in Financial Markets," J. Bradford De Long's Working Papers _123, University of California at Berkeley, Economics Department.
  3. repec:att:wimass:9606 is not listed on IDEAS
  4. H. Tordjman, 1998. "Some General Questions About Markets," Working Papers, International Institute for Applied Systems Analysis ir98025, International Institute for Applied Systems Analysis.
  5. Grossman, Sanford J & Stiglitz, Joseph E, 1976. "Information and Competitive Price Systems," American Economic Review, American Economic Association, American Economic Association, vol. 66(2), pages 246-53, May.
  6. M. Valente, 1997. "Laboratory for Simulation Development User Manual," Working Papers, International Institute for Applied Systems Analysis ir97020, International Institute for Applied Systems Analysis.
  7. Blume, Lawrence & Easley, David, 1992. "Evolution and market behavior," Journal of Economic Theory, Elsevier, Elsevier, vol. 58(1), pages 9-40, October.
  8. F. Chiaromonte & M. Berte, 1998. "Some Preliminary Experiments with the Financial "Toy-Room"," Working Papers, International Institute for Applied Systems Analysis ir98091, International Institute for Applied Systems Analysis.
  9. Sanford J Grossman & Joseph E Stiglitz, 1997. "On the Impossibility of Informationally Efficient Markets," Levine's Working Paper Archive 1908, David K. Levine.
  10. Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992. " Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 47(5), pages 1731-64, December.
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