Some Preliminary Experiments with the Financial "Toy-Room"
We describe some preliminary experiments realized with Financial "Toy-Room" (a micro-founded simulation environment for decentralized trade in a homogeneous financial asset). The experiments are aimed at testing the system, and exploring its flexibility in depicting specific contexts as sub-cases. For this purpose, we selected an issue that has been widely investigated in the literature: the existence and characterization of markets in which prices are (or are believed to be) "quality signals" passing information from informed to uninformed traders. In our out-of-equilibrium simulation analysis, we take agents to trade based on a \f2spread rule\f1, and introduce \f2dis-synchronization\f1 in agents' updating processes. Thus, we investigate how dis-synchronization, updating paces and spreads affect persistence of trade and the time-path of prices in extreme regimes (i.e. when all agents are informed, or all agents are uninformed).
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- 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.
- Sanford J Grossman & Joseph E Stiglitz, 1997. "On the Impossibility of Informationally Efficient Markets," Levine's Working Paper Archive 1908, David K. Levine.
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- 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.
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