Information Dissemination and Aggregation in Asset Markets with Simple Intelligent Traders

Andrew Lo (), Nicholas Chan (), Blake Lebaron () and Tomaso Poggio ()
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Nicholas Chan: Massachusetts Institute of Technology
Tomaso Poggio: Massachusetts Institute of Technology

No 653, Computing in Economics and Finance 1999 from Society for Computational Economics

Abstract: Various studies of asset markets have shown that traders are capable of learning and transmitting information through prices in many situations. In this paper we replace human traders with intelligent software agents in a series of simulated markets. Using these simple learning agents, we are able to replicate several features of the experiments with human subjects, specifically regarding (1) dissemination of information from informed to uninformed traders and (2) aggregation of information spread over different traders.

Date: 1999-03-01
New Economics Papers: this item is included in nep-evo, nep-exp and nep-fin
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Citations: View citations in EconPapers (2)

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