Examining the effectiveness of price limits in an artificial stock market

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@Article{Yeh20102089,

• author = "Chia-Hsuan Yeh and Chun-Yi Yang",
• title = "Examining the effectiveness of price limits in an artificial stock market",
• journal = "Journal of Economic Dynamics and Control",
• volume = "34",
• number = "10",
• pages = "2089--2108",
• year = "2010",
• ISSN = "0165-1889",
• DOI = "doi:10.1016/j.jedc.2010.05.015",
• URL = "http://www.sciencedirect.com/science/article/B6V85-505NRX4-2/2/a4b2c4a32330a95dbb94f4074b20ca15",
• keywords = "genetic algorithms, genetic programming, Price limits, Artificial stock market, Agent-based modelling",
• abstract = "This paper proposes an agent-based framework to examine the effectiveness of price limits in an artificial stock market. The market is composed of many boundedly rational and heterogeneous traders whose learning behaviour is represented by a genetic programming algorithm. We calibrate the model to replicate several stylised facts observed in real financial markets. Based on this environment, the impacts of price limits are analysed from the perspectives of volatility, price distortion, volume, and welfare. We find that the imposition of price limits possesses both positive and negative effects. However, compared with the market without price limits, appropriate price limits help to reduce volatility and price distortion, and increase the liquidity and welfare.",

}

Genetic Programming entries for Chia Hsuan Yeh Chun-Yi Yang

Citations