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