Arbeitspapier
Efficiency and stability in complex financial markets
The authors study a simple model of an asset market with informed and non-informed agents. In the absence of non-informed agents, the market becomes information efficient when the number of traders with different private information is large enough. Upon introducing non-informed agents, the authors find that the latter contribute significantly to the trading activity if and only if the market is (nearly) information efficient. This suggests that information efficiency might be a necessary condition for bubble phenomena - induced by the behavior of non-informed traders - or conversely that throwing some sands in the gears of financial markets may curb the occurrence of bubbles.
- Sprache
-
Englisch
- Erschienen in
-
Series: Economics Discussion Papers ; No. 2010-3
- Klassifikation
-
Wirtschaft
Financial Crises
Information and Market Efficiency; Event Studies; Insider Trading
- Thema
-
Interacting agents models
market efficiency
market stability
statistical mechanics of financial market
Finanzmarkt
Bubbles
Effizienzmarktthese
Informationseffizienz
Anlageverhalten
Wertpapieranalyse
Agent-based Model
Econophysics
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Caccioli, Fabio
Marsili, Matteo
- Ereignis
-
Veröffentlichung
- (wer)
-
Kiel Institute for the World Economy (IfW)
- (wo)
-
Kiel
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Caccioli, Fabio
- Marsili, Matteo
- Kiel Institute for the World Economy (IfW)
Entstanden
- 2010
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