Continuous Double Auctions in Networks: An approach with Agent-Based Simulation - Couverture souple

Thaler, Jonathan

 
9786202201438: Continuous Double Auctions in Networks: An approach with Agent-Based Simulation
Couverture souple
ISBN 10 : 6202201436 ISBN 13 : 9786202201438
Editeur : AV Akademikerverlag, 2017

Synopsis

This thesis builds upon work by Breuer et al. which asked how the leverage cycle model of John Geanakoplos can be implemented in a continuous double auction and under which circumstances holdings and trading prices approach an equilibrium. A main criteria is the trading network the agents use where the authors examine only two topologies and report that the prices come to an equilibrium only in the case of a fully connected network. They leave the question open on how the model behaves with different kinds of networks and which network topology allows an equilibrium to be reached for further research. This thesis builds upon this model and gives a hypothesis for the necessary property a network must satisfy to allow the model to approach the theoretical equilibrium as reported by Breuer et al. A few network topologies are examined in regard of their ability to allow equilibria to be reached or not through agent-based simulation. The results are surprising as they show that the model is incomplete and needs to be extended by an additional market. Although adding this market shows that some problems can be overcome, it becomes clear that the original hypothesis is infeasible.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

This thesis builds upon work by Breuer et al. which asked how the leverage cycle model of John Geanakoplos can be implemented in a continuous double auction and under which circumstances holdings and trading prices approach an equilibrium. A main criteria is the trading network the agents use where the authors examine only two topologies and report that the prices come to an equilibrium only in the case of a fully connected network. They leave the question open on how the model behaves with different kinds of networks and which network topology allows an equilibrium to be reached for further research. This thesis builds upon this model and gives a hypothesis for the necessary property a network must satisfy to allow the model to approach the theoretical equilibrium as reported by Breuer et al. A few network topologies are examined in regard of their ability to allow equilibria to be reached or not through agent-based simulation. The results are surprising as they show that the model is incomplete and needs to be extended by an additional market. Although adding this market shows that some problems can be overcome, it becomes clear that the original hypothesis is infeasible.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
AV Akademikerverlag
Date d'édition
2017
Langue
anglais
ISBN 10 
6202201436
ISBN 13 
9786202201438
Reliure
Broché
Nombre de pages
180
Coordonnées du fabricant
non disponible
Personne responsable
non disponible