Learning and adaptation's impact on market efficiency

Goldbaum, D; Panchenko, V

Learning and adaptation's impact on market efficiency

Goldbaum, D

Panchenko, V

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Publication Type:: Journal Article
Citation:: Journal of Economic Behavior and Organization, 2010, 76 (3), pp. 635 - 653
Issue Date:: 2010-12-01

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Field	Value	Language
dc.contributor.author	Goldbaum, D https://orcid.org/0000-0002-4228-1408	en_US
dc.contributor.author	Panchenko, V	en_US
dc.date.issued	2010-12-01	en_US
dc.identifier.citation	Journal of Economic Behavior and Organization, 2010, 76 (3), pp. 635 - 653	en_US
dc.identifier.issn	0167-2681	en_US
dc.identifier.uri	http://hdl.handle.net/10453/13949
dc.description.abstract	A dynamic model with learning and adaptation captures the evolution in trader beliefs and trading strategies. Through a process of learning and observation, traders improve their understanding of the market. Traders also engage in a process of adaptation by switching between trading strategies based on past performance. The asymptotic properties are derived analytically, demonstrating that convergence to efficiency depends on the model of adaptation. © 2010 Elsevier B.V.	en_US
dc.relation.ispartof	Journal of Economic Behavior and Organization	en_US
dc.relation.isbasedon	10.1016/j.jebo.2010.09.003	en_US
dc.subject.classification	Economics	en_US
dc.title	Learning and adaptation's impact on market efficiency	en_US
dc.type	Journal Article
utslib.citation.volume	3	en_US
utslib.citation.volume	76	en_US
utslib.for	1402 Applied Economics	en_US
utslib.for	1401 Economic Theory	en_US
utslib.for	1403 Econometrics	en_US
dc.location.activity	Marmara University, Istanbul
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	open_access
pubs.issue	3	en_US
pubs.publication-status	Published	en_US
pubs.volume	76	en_US

Abstract:

A dynamic model with learning and adaptation captures the evolution in trader beliefs and trading strategies. Through a process of learning and observation, traders improve their understanding of the market. Traders also engage in a process of adaptation by switching between trading strategies based on past performance. The asymptotic properties are derived analytically, demonstrating that convergence to efficiency depends on the model of adaptation. © 2010 Elsevier B.V.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/13949