Heterogeneous beliefs under different market architectures

Anufriev, M; Panchenko, V

Heterogeneous beliefs under different market architectures

Anufriev, M

Panchenko, V

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Publication Type:: Chapter
Citation:: 2006, 584 pp. 3 - 15
Issue Date:: 2006-12-01

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Field	Value	Language
dc.contributor.author	Anufriev, M https://orcid.org/0000-0002-1842-6814	en_US
dc.contributor.author	Panchenko, V	en_US
dc.date.issued	2006-12-01	en_US
dc.identifier.citation	2006, 584 pp. 3 - 15	en_US
dc.identifier.isbn	9783540372479	en_US
dc.identifier.uri	http://hdl.handle.net/10453/22613
dc.description.abstract	The paper analyzes the dynamics in a model with heterogeneous agents trading in simple markets under different trading protocols. Starting with the analytically tractable model of [4], we build a simulation platform with the aim to investigate the impact of the trading rules on the agents' ecology and aggregate time series properties. The key behavioral feature of the model is the presence of a finite set of simple beliefs which agents choose each time step according to a fitness measure. The price is determined endogenously and our focus is on the role of the structural assumption about the market architecture. Analyzing dynamics under such different trading protocols as the Walrasian auction, the batch auction and the 'order-book' mechanism, we find that the resulting time series are similar to those originating from the noisy version of the model [4]. We distinguish the randomness caused by a finite number of agents and the randomness induced by an order-based mechanisms and analyze their impact on the model dynamics. © 2006 Springer-Verlag Berlin Heidelberg.	en_US
dc.relation.isbasedon	10.1007/3-540-37249-0_1	en_US
dc.subject.classification	Operations Research	en_US
dc.title	Heterogeneous beliefs under different market architectures	en_US
dc.type	Chapter
utslib.citation.volume	584	en_US
utslib.for	1401 Economic Theory	en_US
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/Faculty of Business/Economics Discipline
utslib.copyright.status	closed_access
pubs.publication-status	Published	en_US
pubs.volume	584	en_US

Abstract:

The paper analyzes the dynamics in a model with heterogeneous agents trading in simple markets under different trading protocols. Starting with the analytically tractable model of [4], we build a simulation platform with the aim to investigate the impact of the trading rules on the agents' ecology and aggregate time series properties. The key behavioral feature of the model is the presence of a finite set of simple beliefs which agents choose each time step according to a fitness measure. The price is determined endogenously and our focus is on the role of the structural assumption about the market architecture. Analyzing dynamics under such different trading protocols as the Walrasian auction, the batch auction and the 'order-book' mechanism, we find that the resulting time series are similar to those originating from the noisy version of the model [4]. We distinguish the randomness caused by a finite number of agents and the randomness induced by an order-based mechanisms and analyze their impact on the model dynamics. © 2006 Springer-Verlag Berlin Heidelberg.

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http://hdl.handle.net/10453/22613