ARTIFICIAL ECONOMIC LIFE - A SIMPLE-MODEL OF A STOCKMARKET

Authors
PALMER RG ARTHUR WB HOLLAND JH LEBARON B TAYLER P
Citation
Rg. Palmer et al., ARTIFICIAL ECONOMIC LIFE - A SIMPLE-MODEL OF A STOCKMARKET, Physica. D, 75(1-3), 1994, pp. 264-274
Citations number
12
Categorie Soggetti
Mathematical Method, Physical Science",Physics,"Physycs, Mathematical
Journal title
Physica. D → ACNP
ISSN journal
01672789
Volume
75
Issue
1-3
Year of publication
1994
Pages
264 - 274
Database
ISI
SICI code
0167-2789(1994)75:1-3<264:AEL-AS>2.0.ZU;2-L
Abstract
We describe a model of a stockmarket in which independent adaptive age nts can buy and sell stock on a central market. The overall market beh avior, such as the stock price time series, is an emergent property of the agents' behavior. This approach to modelling a market is contrast ed with conventional rational expectations approaches. Our model does not necessarily converge to an equilibrium, and can show bubbles, cras hes, and continued high trading volume.