Trading behavior and excess volatility in toy markets

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dc.creatorMarsili, M.
dc.creatorChallet, D.
dc.date2000-04-21
dc.date2000-06-19
dc.date.accessioned2026-07-07T12:06:26Z
dc.date.available2026-07-07T12:06:26Z
dc.descriptionWe study the relation between the trading behavior of agents and volatility in toy markets of adaptive inductively rational agents. We show that excess volatility, in such simplified markets, arises as a consequence of {\em i)} the neglect of market impact implicit in price taking behavior and of {\em ii)} excessive reactivity of agents. These issues are dealt with in detail in the simple case without public information. We also derive, for the general case, the critical learning rate above which trading behavior leads to turbulent dynamics of the market.
dc.description14 pages, 4 figures, minor changes
dc.identifierhttps://arxiv.org/abs/cond-mat/0004376
dc.identifierhttp://arxiv.org/abs/cond-mat/0004376
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208655
dc.subjectStatistical Mechanics
dc.subjectDisordered Systems and Neural Networks
dc.subjectAdaptation and Self-Organizing Systems
dc.subjectTrading and Market Microstructure
dc.titleTrading behavior and excess volatility in toy markets
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