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Record: oai:ARNO:280580

AuthorsM. Anufriev, V. Panchenko
TitleAsset prices, traders' behavior, and market design
Year2007
Title seriesCeNDEF Working Paper Univrsiteit van Amsterdam
Series number07-14
FacultyFaculty of Economics and Business
Institute/dept.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
AbstractThe dynamics in a financial market with heterogeneous agents is analyzed under different market architectures. We start with a tractable behavioral model under Walrasian market clearing and simulate it under more realistic trading protocols. The key behavioral feature of the model is the switching of agents between simple forecasting rules on the basis of fitness measure. Analyzing the dynamics under order-driven protocols we show that behavioral and structural assumptions of the model are closely intertwined. High responsiveness of agents to a fitness measure
causes excess volatility, however the frictions of the order-driven markets may stabilize the dynamics.
Document typeReport
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