Rate of Return Parity with Robot Asset Traders

Jason Childs ()

Computational Economics, 2007, vol. 29, issue 1, 12 pages

Abstract: Human populated experimental asset markets produce data with two major qualitative consistencies; finite price bubbles and rate of return parity. Robot traders following different behavioural rules are used to create data that is qualitatively similar to that produced by human subjects in a laboratory setting. A trend pricing component of behaviour is required for robots to generate finite price bubbles. A single arbitrageur in combination with trend pricing and simple profit maximization is required to generate rate of return parity. Copyright Springer Science+Business Media, LLC 2007

Keywords: interest rate parity; rate of return parity; arbitrage; C89; F3; G12 (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/s10614-006-9060-4

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