21
Views
0
CrossRef citations to date
0
Altmetric
Articles

Formación de precios en un mercado artificial de doble subasta continua

Price formation in an artificial continuous double auction market

, &
Pages 235-256 | Received 28 Nov 2005, Accepted 25 Mar 2007, Published online: 15 Jan 2014

REFERENCIAS BIBLIOGRÁFICAS

  • Lucy, F. A.; Church, B., y Jayaraman, N. [2001]: «An Experimental Study Of Circuit Breakers: The Effects Of Mandated Market Closures and Temporary Halts On Market Behavior», Journal of Financial Markets, 4: 185–201.
  • Arthur, W. B.; Holland, J.; Lebaron, B.; Palmer, R., y Tayler, P. [1997] «Asset Pricing Under Endogenous Expectations in An Artifficial Stock Market», en Arthur, W. B.; Durlauf, S., y Lane, D. (Editores): The Economy as an Evolving Complex System II, Addison-Wesley, Reading, MA: 15–44.
  • Bray, M. [1982]: «Learning, Estimation, and the Stability of Rational Expectations», Journal of Economic Theory, 26: 318–339.
  • Campbell, J., Grossman, S., y Wang, J. [1993]: «Trading Volumen and Serial Correlation in Stock Returns», Quarterly Journal of Economics, 108: 905–939.
  • Chan, N. T.; Blake, D.; Lebaron, T. P., y W. Lo., A. [2001]: «Agent-Based Models of Financial Markets: A Comparison with Experimental Markets», MIT Sloan Working Paper, n.° 4.195–01.
  • Chiarella, C., y Iori, G. [2002]: «A Simulation Analysis of the Microstructure of Double Auction Markets», Quantitative Finance, 2: 346–353.
  • Engle, R. F. [1982]: «Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation», Econometrica, 50: 987–1007.
  • Gode, D. K., y Sunder, S. [1993]: «Allocative Efficiency of Markets with Zero Intelligence Traders», Journal of Political Economy, 101: 119–137.
  • Grossman, S. J., y Stiglitz, J. E. [1980]: «On the Impossibility of Informationally Efficient Markets», American Economic Review, 70: 393–408.
  • Harvey, C. R.; Travers, K. E., y Costa, J. M. [1999]: «Forecasting Emerging Market Returns Using Neural Networks», Financial Technology: 25–35.
  • Hornik, K.; Stinchcombe, M., y White, H. [1989]: «Multilayer feedforward networks are universal approximators», Neural Networks, 2: 359–366.
  • Iori, G. [2002]: «A microsimulation of Traders Activity in the Stock Market: The Role of Heterogeneity, Agents' Interactions and Trade Frictions», Journal of Economic Behaviour and Organization, 49: 271–287.
  • Kuan, C. M., y White, H. [1994]: «Artificial Neural Networks: an Econometric Perspective», Econometric Reviews, 13: 1–91.
  • Kyle, A. [1985]: «Continuous Auctions and Insider Trading», Econometrica 53: 1.315–1.335.
  • Lebaron, B., Arthur, W. B., y Palmer, R. [1999] «Time Series Properties of an Artificial Stock Market», Journal of Economic Dynamics and Control, 23: 1.487–1.516.
  • Lebaron, B. [2000]: «Agent-Based Computational Finance: Suggested Readings and Early Research», Journal of Economic Dynamics and Control, 24: 679–702.
  • Lebaron, B. [2001]: «A Builder's Guide to Agent-Based Financial Markets», Quantitative Finance, 1: 254–261.
  • Lebaron, B. [2002]: «Building the Santa Fe Artificial Stock Market», Working Paper, Brandeis University.
  • Madhavan, A. [2000]: «Market Microstructure: A Survey», Journal of Financial Markets, 3: 205–258.
  • Robbins, H., y Monro, S. [1951]: «A Stochastic Approximation Method», The Annals of Mathematical Statistics, 22: 400–407.
  • Stock, J. H., y Watson, M. W. [1999]: «A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series» ch. 1 in Engle, R., and White, H. (Eds.): Cointegration, Causality and Forecasting: A Festschrift for CLIVE, W. J., GRANGER. Oxford: Oxford University Press.
  • Theissen, E. [2000]: «Market Structure, Informational Efficiency and Liquidity: An Experimental Comparison of Auction and Dealer Markets», Journal of Financial Markets, 3: 333–363.
  • Yang, J. [2002]: «The Efficiency of an Artificial Double Auction Stock Market with Neural Learning Agents», en Evolutionary Computation in Economics and Finance, editado por CHEN, S. H.: 79–98. Springer-Verlag.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.