Simple Agents, Intelligent Markets
| Autor: | Michael Maier, Shyam Sunder, Karim Jamal |
|---|---|
| Rok vydání: | 2016 |
| Předmět: |
jel:C92
TheoryofComputation_MISCELLANEOUS jel:D70 Rational expectations 050208 finance Heuristic jel:D82 05 social sciences Economics Econometrics and Finance (miscellaneous) jel:D50 jel:D44 Price system Bounded rationality Computer Science Applications Microeconomics Market structure jel:G14 Bounded rationality Dissemination of asymmetric information Efficiency of security markets Minimally-rational agents Rational expectations Structural properties of markets 0502 economics and business Economics Asset (economics) 050207 economics Private information retrieval Dissemination |
| Zdroj: | Computational Economics. 49:653-675 |
| ISSN: | 1572-9974 0927-7099 |
| Popis: | Attainment of rational expectations equilibria in asset markets calls for the price system to disseminate agents’ private information to others. Markets populated by human agents are known to be capable of converging to rational expectations equilibria. This paper reports comparable market outcomes when human agents are replaced by boundedly-rational algorithmic agents who use a simple means-end heuristic. These algorithmic agents lack the capability to optimize; yet outcomes of markets populated by them converge near the equilibrium derived from optimization assumptions. These findings point to market structure (rather than cognition or optimization) being an important determinant of efficient aggregate level outcomes. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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