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dc.contributor.authorLespagnol, Vivien
dc.contributor.authorRouchier, Juliette
dc.date.accessioned2017-04-13T08:15:13Z
dc.date.available2017-04-13T08:15:13Z
dc.date.issued2018
dc.identifier.issn0927-7099
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/16507
dc.language.isoenen
dc.subjectAgent-based modelling
dc.subjectComputational finance
dc.subjectLearning
dc.subjectMarket microstructure
dc.subjectFundamental value
dc.subjectTrading volume
dc.subjectEfficient market
dc.subject.ddc332en
dc.subject.classificationjelG.G1.G14en
dc.subject.classificationjelG.G1.G12en
dc.subject.classificationjelD.D4.D44en
dc.subject.classificationjelC.C6.C63en
dc.titleTrading volume and price distortion: an agent-based model with heterogenous knowledge of fundamentals
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis paper investigates whether trading volume and price distortion can be explained by the investor’s bounded rationality. Assuming that agents are bounded by their information access and processing, what are the consequences on market dynamics? We expose the result of simulations in an ABM that considers the liquidity as an endogenous characteristic of the market and allows to design investors as bounded rational. In a call auction market, where two risky assets are exchanged, traders are defined as a mix between fundamentalist and trend-follower outlook. Each one differs as to behaviour, order-placement strategy, mood, knowledge, risk-aversion and investment horizon. We place agents in a context of evolving fundamental values and order placement strategy; they perceive the fundamental but they also have some heterogeneous belief perseverance; and they adapt their orders to the market depth so as to maximise their execution probability and their profit. By adding bounded rationality in their information processing, we show that (1) usual features as trend-follower outlook and heterogeneous investment horizon are important features to generate excess volatility of asset prices and market inefficiency; (2) the learning fundamental value stabilises the market price and the trading volume; (3) the order-placement strategy increases trading volume, but reduces market efficiency and stability; (4) the agent’s mood prevents illiquid market and weakly increases the market volatility as classical noise trader agents; (5) the impatience to sell of traders is always present in the market: the market sell orders are always more numerous than the market buy orders.
dc.relation.isversionofjnlnameComputational Economics
dc.relation.isversionofjnlvol51
dc.relation.isversionofjnlissue4
dc.relation.isversionofjnldate2018
dc.relation.isversionofjnlpages991-1020
dc.relation.isversionofdoi10.1007/s10614-017-9655-y
dc.relation.isversionofjnlpublisherSpringer
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingouien
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenon
dc.description.halcandidatenon
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2018-03-16T09:00:32Z
hal.person.labIds241119$$$226603
hal.person.labIds989


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