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Rate of Return Parity with Robot Asset Traders

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  • Jason Childs

Abstract

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. Copyright Springer Science+Business Media, LLC 2007

Suggested Citation

  • Jason Childs, 2007. "Rate of Return Parity with Robot Asset Traders," Computational Economics, Springer;Society for Computational Economics, vol. 29(1), pages 1-12, February.
    • Handle: RePEc:kap:compec:v:29:y:2007:i:1:p:1-12
    DOI: 10.1007/s10614-006-9060-4
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    References listed on IDEAS

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    1. Youssefmir, Michael & Huberman, Bernardo A & Hogg, Tad, 1998. "Bubbles and Market Crashes," Computational Economics, Springer;Society for Computational Economics, vol. 12(2), pages 97-114, October.
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    4. Sunder, S., 1992. "Experimental Asset Markets: A Survey," GSIA Working Papers 1992-19, Carnegie Mellon University, Tepper School of Business.
    5. Gode, Dhananjay K & Sunder, Shyam, 1993. "Allocative Efficiency of Markets with Zero-Intelligence Traders: Market as a Partial Substitute for Individual Rationality," Journal of Political Economy, University of Chicago Press, vol. 101(1), pages 119-137, February.
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    More about this item

    Keywords

    interest rate parity; rate of return parity; arbitrage; C89; F3; G12;
    All these keywords.

    JEL classification:

    • C89 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Other
    • F3 - International Economics - - International Finance
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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