Download This PaperA Study of Neo-Austrian Economics Using an Artificial Stock Market
41 Pages Posted: 23 Jul 2004
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: 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
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