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Information Dissemination and Aggregation in Asset Markets with Simple Intelligent Traders

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Author(s)
Chan, Nicholas
•
LeBaron, Blake
•
Lo, Andrew
•
Poggio, Tomaso
Date Issued
September 1, 1998
Series/Report no.
AIM-1646
CBCL-164
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, regarding (1) dissemination of information from informed to uninformed traders, and (2) aggregation of information spread over different traders.
Subjects
AI
MIT
Artificial Intelligence
artificial traders
artificial markets
rational expectations model
experimental economics
Persistent DSpace Link
http://hdl.handle.net/1721.1/7174
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