Information dissemination in an experimentally based agent-based stock market

Jakob Grazzini

Journal of Economic Interaction and Coordination, 2013, vol. 8, issue 1, 179-209

Abstract: This paper builds an agent-based model to reproduce the results of an experimental stock market that studies how the market aggregates private information. The aim is to use experiments and agent-based modeling to analyze the trading behavior in experimental stock markets. Using the experimental environment and results, it is possible to formulate a hypothesis about the subjects’ behavior and thereby formalize (algorithmically) the trading behavior in an agent-based model. This may lead to a better understanding of how the market converges to an equilibrium and of the mechanism that allows dissemination of private information in the market. Copyright Springer-Verlag Berlin Heidelberg 2013

Keywords: Agent-based modeling; Experiments; Stock market; Asymmetric information; Learning (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/s11403-013-0109-x

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