Rate of return parity with Robot asset traders

被引：0

作者：

Childs J. ^{[1
]}

机构：

[1] University of New Brunswick Saint John, Saint John

来源：

Computational Economics | 2007年 / 29卷 / 1期

关键词：

Arbitrage; Interest rate parity; Rate of return parity;

D O I：

10.1007/s10614-006-9060-4

中图分类号：

学科分类号：

摘要：

Human populated experimental asset markets produce data with two major qualitative consistencies; finite price bubbles and rate of return parity. Robot traders following different behavioural rules are used to create data that is qualitatively similar to that produced by human subjects in a laboratory setting. A trend pricing component of behaviour is required for robots to generate finite price bubbles. A single arbitrageur in combination with trend pricing and simple profit maximization is required to generate rate of return parity. © Springer Science+Business Media, LLC 2006.

引用

页码：1 / 12

页数：11

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