Cowboying Stock Market Herds with Robot Traders
dc.contributor.author
Galimberti, Jaqueson K.
dc.contributor.author
Suhadolnik, Nicolas
dc.contributor.author
Da Silva, Sergio
dc.date.accessioned
2023-10-10T08:45:19Z
dc.date.available
2017-06-12T07:25:41Z
dc.date.available
2017-07-27T12:13:55Z
dc.date.available
2017-08-22T10:07:12Z
dc.date.available
2023-10-10T08:45:19Z
dc.date.issued
2017-10
dc.identifier.issn
0927-7099
dc.identifier.issn
1572-9974
dc.identifier.other
10.1007/s10614-016-9591-2
en_US
dc.identifier.uri
http://hdl.handle.net/20.500.11850/117325
dc.identifier.doi
10.3929/ethz-b-000117325
dc.description.abstract
One explanation for large stock market fluctuations is its tendency to herd behavior. We put forward an agent-based model where instabilities are the result of liquidity imbalances amplified by local interactions through imitation, and calibrate the model to match some key statistics of actual daily returns. We show that an “aggregate market-maker” type of liquidity injection is not successful in stabilizing prices due to the complex nature of the stock market. To offset liquidity shortages, we propose the use of locally triggered contrarian rules, and show that these mechanisms are effective in preventing extreme returns in our artificial stock market.
en_US
dc.format
application/pdf
en_US
dc.language.iso
en
en_US
dc.publisher
Springer
en_US
dc.rights.uri
http://rightsstatements.org/page/InC-NC/1.0/
dc.subject
Herding
en_US
dc.subject
Robot trading
en_US
dc.subject
Financial regulation
en_US
dc.subject
Agent-based model
en_US
dc.title
Cowboying Stock Market Herds with Robot Traders
en_US
dc.type
Journal Article
dc.rights.license
In Copyright - Non-Commercial Use Permitted
dc.date.published
2016-06-02
ethz.journal.title
Computational Economics
ethz.journal.volume
50
en_US
ethz.journal.issue
3
en_US
ethz.journal.abbreviated
Comput. econ.
ethz.pages.start
393
en_US
ethz.pages.end
423
en_US
ethz.version.deposit
publishedVersion
en_US
ethz.code.jel
C6 - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling::C63 - Computational Techniques; Simulation Modeling
en_US
ethz.code.jel
G0 - General::G02 - Behavioral Finance: Underlying Principles
en_US
ethz.notes
It was possible to publish this article open access thanks to a Swiss National Licence with the publisher.
en_US
ethz.identifier.wos
ethz.identifier.scopus
ethz.identifier.nebis
000925049
ethz.publication.place
Berlin
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::03716 - Sturm, Jan-Egbert / Sturm, Jan-Egbert
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::03716 - Sturm, Jan-Egbert / Sturm, Jan-Egbert
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute
ethz.tag
KOF-Key-refereed
en_US
ethz.date.deposited
2017-06-12T07:33:20Z
ethz.source
ECIT
ethz.identifier.importid
imp59365476beeae88759
ethz.ecitpid
pub:179227
ethz.eth
yes
en_US
ethz.availability
Open access
en_US
ethz.rosetta.installDate
2017-08-22T10:07:14Z
ethz.rosetta.lastUpdated
2024-02-03T04:39:05Z
ethz.rosetta.versionExported
true
ethz.COinS
ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.atitle=Cowboying%20Stock%20Market%20Herds%20with%20Robot%20Traders&rft.jtitle=Computational%20Economics&rft.date=2017-10&rft.volume=50&rft.issue=3&rft.spage=393&rft.epage=423&rft.issn=0927-7099&1572-9974&rft.au=Galimberti,%20Jaqueson%20K.&Suhadolnik,%20Nicolas&Da%20Silva,%20Sergio&rft.genre=article&rft_id=info:doi/10.1007/s10614-016-9591-2&
Files in this item
Publication type
-
Journal Article [128832]