Seminar with Kate Morrison

Asset Price Dynamics Under Networked Expectations

ACCS Weekly Seminar

Time:  Thursday 3rd March
Date:  11:00-12:00
Location:  78-621 (Level 6 General Purpose South), St Lucia Campus, The University of Queensland

A multi-agent model of trading in variant market structures demonstrates that the statistical properties of emergent price dynamics are sensitive to the market algorithm. A decentralised market algorithm produces highly volatile prices compared to a centralised continuous double auction algorithm. The effect of assuming incomplete information transfer networks between trading agents on price dynamics is also examined.

Kate Morrison, School of Economics, University of Queensland

World-class basic and applied inter-disciplinary research on questions fundamental to understanding, designing and managing complex systems
2009 The ARC Centre for Complex Systems, Australia