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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/50628


    Title: On the Plausibility of Sunspot Equilibria: Simulations based on agent-based artificial stock markets
    Authors: 陳樹衡;C.-C. Liao;P.-J. Chou
    Chen,Shu-Heng;Liao,Chung-Chih;Chou,Pei-Jung
    Contributors: 政大經濟系
    Keywords: Sunspots;Agent-based artificial stock markets;Genetic programming;Granger causality test
    Date: 2008
    Issue Date: 2011-07-28 10:36:35 (UTC+8)
    Abstract: This study examines the plausibility of the emergence of sunspot equilibria in an agent-based artificial stock market. Using the agent-based model, we make the sunspots explicit so that we can test, e.g., by means of the Granger causality test, whether purely extrinsic uncertainty can influence price dynamics. In addition, through agent-based simulation, the coordination process, which is mainly driven by genetic programming, becomes observable, which enables us to analyze what agents perceive and whether they believe in sunspots. By manipulating different control variables, three series of experiments are conducted. Generally speaking, the chances of observing “sunspot equilibria” in this agent-based artificial stock market are small. However, the sunspot believers can never be driven out of the market. Nevertheless, they are always outnumbered by fundamental believers, which is evidence that the market as
    collective behavior is rational. We also find that lengthening the time horizon will make it difficult for sunspot believers to survive.
    Relation: Journal of Economic Interaction and Coordination, 3(1), 25-41
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1007/s11403-008-0037-3
    DOI: 10.1007/s11403-008-0037-3
    Appears in Collections:[經濟學系] 期刊論文

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