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