A Study of Neo-Austrian Economics Using an Artificial Stock Market

41 Pages Posted: 23 Jul 2004

See all articles by H.A. Benink

H.A. Benink

Tilburg University

Jose Luis Gordillo

Universidad Nacional Autónoma de México (UNAM)

Juan Pablo Pardo-Guerra

London School of Economics and Political Science

Christopher R. Stephens

Universidad Nacional Autonoma de Mexico

Date Written: March 2004

Abstract

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.

Suggested Citation

Benink, Harald and Gordillo, Jose Luis and Pardo-Guerra, Juan Pablo and Stephens, Christopher R., A Study of Neo-Austrian Economics Using an Artificial Stock Market (March 2004). Available at SSRN: https://ssrn.com/abstract=567125 or http://dx.doi.org/10.2139/ssrn.567125

Harald Benink (Contact Author)

Tilburg University ( email )

P.O. Box 90153
Tilburg, DC Noord-Brabant 5000 LE
Netherlands

Jose Luis Gordillo

Universidad Nacional Autónoma de México (UNAM)

Circuito Mario de la Cueva s/n
Lomas de las Palmas, 52760
Mexico

Juan Pablo Pardo-Guerra

London School of Economics and Political Science ( email )

Houghton Street
WC2A 2AE London, England
United Kingdom

Christopher R. Stephens

Universidad Nacional Autonoma de Mexico ( email )

Circuito Exterior
A. Postal 70-543
Mexico, 04510
Mexico
(52)-555-622-4692 (Phone)
(52)-555-622-4693 (Fax)

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