Effects of price signal choices on market stability
نویسندگان
چکیده
Using simulation and analysis we show that agent-based auction-cleared automated markets can be stabilized using only completely myopic agents (without value traders), if these naı̈ve agents are provided with a price signal that reflects order book information. This demonstrates that information in the order book is extremely valuable, that prediction can be replaced by better instantaneous information about others’ bids, and suggests new, more stable algorithms for market-based control. © 2003 Elsevier Science B.V. All rights reserved. JEL classification: C60; E30; E37
منابع مشابه
E ects of Price Signal Choices on Market
We study the eeects of diierent price signals on the stability of an agent-based auction-cleared automated market, using both simulation and analysis. The results show that such markets can be stabilized using a price signal that is the average of all bids, and that this signal leads to more stable behavior if the bids are weighted inversely with the size of the ooers. This connrms the notion t...
متن کاملThe impact of Central bank independence on stock market volatility
The new paradigm in monetary policymaking gives accent to central banks‘ Independence. It is widely accepted that in modern monetary policymaking, central banks have three key goals: price stability, output stability and financial stability. Recent studies on central bank independence mainly investigate the effects of central bank independence on economic stability. But the effectiveness of cen...
متن کاملInvestigating the Sustainability of Asian, European and American Regional Gas Markets in Response to Currency and Crude Oil Price Shocks
In this study, we model the long-term and dynamic relationships between spot oil and exchange rates and gas prices by applying the Markov switching vector self-regression model in three regional gas markets in USA, Europe and Asia. Price behavior is analyzed using Bayesian estimation to take into account the transition from an existing relationship and the delayed and recurring effects of pric...
متن کاملNon-Linear Relationships Among Oil Price, Gold Price and Stock Market Returns in Iran: A Multivariate Regime-Switching Approach
In this paper, the effects of oil and gold prices on stock market index are investigated. We use a cointegrated vector autoregressive Markov-switching model to examine the nonlinear properties of these three variables during the period of January 2003 - December 2014. The Markov-switching vector-equilibrium-correction model with three regimes representing "deep recession", "mild recession" and ...
متن کاملApplication of an Improved Neural Network Using Cuckoo Search Algorithm in Short-Term Electricity Price Forecasting under Competitive Power Markets
Accurate and effective electricity price forecasting is critical to market participants in order to make an appropriate risk management in competitive electricity markets. Market participants rely on price forecasts to decide on their bidding strategies, allocate assets and plan facility investments. However, due to its time variant behavior and non-linear and non-stationary nature, electricity...
متن کامل