In this talk Giulia will present the results of experiments and computational analyses of trading in decentralised markets with asymmetric information.
In the paper, the talk is based on, they considered three trading configurations, namely the ring, the small-world, and the Erdos-Renyi random network, which allow them to introduce heterogeneity in the degree, centrality and clustering of nodes, while keeping the number of possible trading relationships fixed. They analysed how the prices of a traded risky asset and the profits of differently informed traders are affected by the distribution of the trading link, and by the location of the traders in the network. This allows them to infer key features in the dynamics of learning and information diffusion through the market. Experimental results show that learning is enhanced by clustering rather than degree, pointing to a learning dynamic driven by interdependent, successive trading events, rather than independent exposures to informed traders. By calibrating a behavioural agent-based model to the experimental data, they were able to estimate the speed at which agents learn, and to locate where information accumulates in the market. Interestingly, simulations indicate that proximity to the insiders leads to more information in regular networks but not so in random networks.
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If attending in person we look forward to seeing you in Manor Road Building Room G (Manor Road, Oxford, OX1 3UQ). If you are feeling unwell please do not attend and instead watch the event virtually.
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Professor Giulia Iori
Professor in Economics, City, University of London
Professor Iori obtained a BSc and a PhD in Physics from the University of Rome. Before joining City, University of London as a Professor of Economics, she worked at the University of California Santa Cruz, the CEA-Saclay in Paris, the University of Barcelona, the University of Essex and Kings College London.
She has been a leading contributor to the development of an interdisciplinary approach to complexity in financial markets and economic networks and has been a pioneer in applying Agent Based Models to Economics. Her current research interests include: high-frequency financial time series analysis, option pricing and hedging, financial stability, market microstructure and economic networks.
Her research has been funded by the European Commission, the EPSRC, and the British Academy. She was awarded the Lamfalussy Fellowship by the European Central Bank in 2003. She is the Co-Editor of Journal of Economics Dynamics and Control and Journal of Economic Interaction and Coordination. She is the President of the Society for Economic Science with Heterogeneous Interacting Agents, a member of the London Mathematical Society and a member of the Institute of Physics.
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