Zusammenfassung
We construct a computer simulation of a repeated
double-auction market, designed to match those in
experimental-market settings with human subjects, to
model complex interactions among
artificially-intelligent traders endowed with varying
degrees of learning capabilities. In the course of six
different experimental designs, we investigate a number
of features of our agent-based model: the price
efficiency of the market, the speed at which prices
converge to the rational expectations equilibrium
price, the dynamics of the distribution of wealth among
the different types of AI-agents, trading volume,
bid/ask spreads, and other aspects of market dynamics.
We are able to replicate several endings of human-based
experimental markets, however, we also and intriguing
differences between agent-based and human-based
experiments.
Nutzer