Fragmentation and stability of markets

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@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