Benink, H.A
[VerfasserIn]
;
Gordillo, Jose Luis
[Sonstige Person, Familie und Körperschaft];
Pardo-Guerra, Juan Pablo
[Sonstige Person, Familie und Körperschaft];
Stephens, Christopher R.
[Sonstige Person, Familie und Körperschaft]
A Study of Neo-Austrian Economics Using an Artificial Stock Market
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 2004 erstellt
Beschreibung:
An agent-based artificial financial market (AFM) is used to study market efficiency and learning in the context of the Neo-Austrian economic paradigm. Efficiency is defined in terms of the excess profits associated with different trading strategies, where excess is defined relative to a dynamic buy and hold benchmark in order to make a clean separation between trading gains and market gains. We define an Inefficiency matrix that takes into account the difference in excess profits of one trading strategy versus another (signal) relative to the standard error of those profits