Professor of Economics Chris Georges published two papers in computational economics. "Bounded Memory, Overparameterized Forecast Rules and Instability" was published in Economics Letters in February. A companion paper, "Staggered Updating in an Artificial Financial Market" has been published online in the Journal of Economic Dynamics and Control. Both use agent-based modeling to study the impact of learning by traders on market volatility in an artificial financial market.
The papers illustrate how market volatility can arise from the use by traders of misspecified forecasting models and find that this volatility can be increasing or decreasing in the rate and sophistication of learning. The research benefited from access to computational resources provided by George Shields in the Chemistry Department and assistance with coding provided by Rick Decker in the Computer Science Department.
The papers illustrate how market volatility can arise from the use by traders of misspecified forecasting models and find that this volatility can be increasing or decreasing in the rate and sophistication of learning. The research benefited from access to computational resources provided by George Shields in the Chemistry Department and assistance with coding provided by Rick Decker in the Computer Science Department.
