Fragmentation and stability of markets

Created by W.Langdon from gp-bibliography.bib Revision:1.8051

@Article{Ladley:2015:JEBO,

• author = "Daniel Ladley and Terje Lensberg and Jan Palczewski and Klaus Reiner Schenk-Hoppe",
• title = "Fragmentation and stability of markets",
• journal = "Journal of Economic Behavior \& Organization",
• year = "2015",
• volume = "119",
• pages = "466--481",
• month = nov,
• keywords = "genetic algorithms, genetic programming, skills, market fragmentation, volatility, market resilience",
• ISSN = "0167-2681",
• URL = "http://www.sciencedirect.com/science/article/pii/S0167268115002565",
• DOI = "doi:10.1016/j.jebo.2015.09.013",
• size = "16 pages",
• abstract = "Trading skills are highly rewarded in practice but largely ignored in theoretical models of financial markets. This paper demonstrates the importance of skills by examining their interaction with market fragmentation and market stability. We consider a computational model where traders' abilities to accurately price assets are endogenous. In contrast to models that do not consider skills, we find that centralising markets can lead to higher price volatility and less resilience to shocks because it increases the equilibrium proportion of unskilled traders.",

}

Genetic Programming entries for Dan Ladley Terje Lensberg Jan Palczewski Klaus Reiner Schenk-Hoppe

Citations