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september 24, 2003
Doyne Farmer om börsen
I Nature-artikeln Stock market traders show signs of zero intelligence berättas om börs-forskning gjord av Doyne Farmer och andra från Santa Fe Institute.
Market traders are not mindless. But if they were we might not notice the difference, claim J. Doyne Farmer, of the Santa Fe Institute in New Mexico, and co-workers.
...
Traders, it suggests, are rather like ants swarming chaotically through the guts of a great clock, barely affecting its ability to tick.
Papret som refereras är The Predictive Power of Zero Intelligence in Financial Markets av J. Doyne Farmer, Paolo Patelli, Ilija I. Zovko.
Abstract:
Standard models in economics are based on intelligent agents that maximize utility. However, there may be situations where constraints imposed by market institutions are more important than intelligent agent behavior. We use data from the London Stock Exchange to test a simple model in which zero intelligence agents place orders to trade at random. The model treats the statistical mechanics of the interaction of order placement, price formation, and the accumulation of stored supply and demand, and makes predictions that can be stated as simple expressions in terms of measurable quantities such as order arrival rates. The agreement between model and theory is excellent, explaining 96% of the variance of the bid-ask spread across stocks and 76% of the price diffusion rate. We also study the market impact function, describing the response of prices to orders. The nondimensional coordinates dictated by the model collapse data from different stocks onto a single curve, suggesting a corresponding understanding of supply and demand. Thus, it appears that the price formation mechanism strongly constrains the statistical properties of the market, playing a more important role than the strategic behavior of agents.
Posted by hakank at september 24, 2003 11:16 EM Posted to Agentbaserad modellering | Komplexitet/emergens