What drives information dissemination in continuous double auction markets?

Mostra el registre complet Registre parcial de l'ítem

• dc.contributor.author Gil-Bazo, Javier
• dc.contributor.author Moreno Muñoz, Jesús David
• dc.contributor.author Tapia Torres, Miguel Ángel
• dc.date.accessioned 2021-02-08T09:32:09Z
• dc.date.available 2021-02-08T09:32:09Z
• dc.date.issued 2005
• dc.description Comunicació presentada a: 2005 IEEE Congress on Evolutionary Computation celebrat del 2 al 5 de setembre de 2005 a Edimburg, Escòcia.
• dc.description.abstract In this paper, we investigate further the way information disseminates from informed to uninformed traders in a market populated by heterogeneous boundedly rational agents. In order to achieve the goal, a computer simulated market where only a small fraction of the population observe the risky asset's fundamental value with noise was constructed, while the rest of agents try to forecast the asset's price from past transaction data. The paper departs from previous studies in that the risky asset does not pay a dividend every period, so agents cannot learn from past transaction prices and subsequent dividend payments. The main finding is that information can potentially disseminate in the market as long as: (1) informed investors' trades tilt transaction prices in the fundamental path direction; and (2) the median investor's expectation is very responsive to transaction prices. Otherwise, markets may display crashes or bubbles. It is found that the first condition requires a minimal amount of informed investors, and is severely limited by short selling and borrowing constraints.
• dc.description.sponsorship Mikel Tapia acknowledges financial support from Ministerio de Ciencia y Tecnologia grant BEC2002-00279, European Community's Human Potential Programme under contract HPRN-CT-2002-00232, MICFINMA and Fundacion Ramon Areces Research Grant. Javier Gil-Bazo and David Moreno acknowledge financial support from Ministerio de Ciencia y Tecnologia grant SEJ2004-01688/ECON.
• dc.format.mimetype application/pdf
• dc.identifier.citation Gil-Bazo J, Moreno D, Tapia M. What drives information dissemination in continuous double auction markets? In: 2005 IEEE Congress on Evolutionary Computation; 2005 Sep 2-5; Edinburgh, United Kingdom. New York: Institute of Electrical and Electronics Engineers; 2005. p. 2453-60. DOI: 10.1109/CEC.2005.1555001
• dc.identifier.doi http://dx.doi.org/10.1109/CEC.2005.1555001
• dc.identifier.issn 1089-778X
• dc.identifier.uri http://hdl.handle.net/10230/46381
• dc.language.iso eng
• dc.publisher Institute of Electrical and Electronics Engineers (IEEE)
• dc.relation.ispartof 2005 IEEE Congress on Evolutionary Computation; 2005 Sep 2-5; Edinburgh, United Kingdom. New York: Institute of Electrical and Electronics Engineers; 2005. p. 2453-60
• dc.relation.projectID info:eu-repo/grantAgreement/ES/2PN/SEJ2004-01688/ECON
• dc.relation.projectID info:eu-repo/grantAgreement/ES/1PN/BEC2002-00279
• dc.rights © 2005 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works. The final published article can be found at http://dx.doi.org/10.1109/CEC.2005.1555001
• dc.rights.accessRights info:eu-repo/semantics/openAccess
• dc.title What drives information dissemination in continuous double auction markets?en
• dc.type info:eu-repo/semantics/article
• dc.type.version info:eu-repo/semantics/acceptedVersion