24 Febbraio, 2022 11:00
Sezione di Finanza Quantitativa
Experiments and computational models of trading in decentralized markets
Giulia Iori, City, University of London
Zoom virtual Room polimi-it.zoom.us/j/81675315372 and Aula Seminari III piano, Dipartimento di Matematica, Politecnico di Milano
https://www.qfinlab.polimi.it/eventi/seminar-giulia-iori-city-university-of-london-february-24th-202
Abstract
We present the results of experimental and computational analysis of decentralized markets with asymmetric information. We examine how market efficiency and agents profit distribution depend on the structure of the underlying trading network and on the number and location of insiders. We find that market efficiency and fairness are both affected by the network macro-structure and that the network that better supports price efficiency is not necessarily the one that leads to greater fairness in profits. By calibrating a behavioural Agent Based Model to the experimental data we characterize the traders’ learning rule and shed further lights on the dynamics of information diffusion.