CeNDEF Lunch Seminar: Alba Ruiz-Buforn (Universitat Jaume I)
'Heterogeneous expectations and macroeconomic imbalances in a monetary union'
We propose a simple theoretical model of an artificial financial market based on the experimental findings in Ruiz-Buforn et al.  to explain the coordination of prices around the public signal released by a regulatory institution. The artificial market is populated by bounded rational traders with heterogeneous cognitive capabilities: (i) naive traders, who decide their trading strategies based on their own information set only, disregarding the trading motives of the other agents and (ii) sophisticated traders, who take into account the entire distribution of information across traders, acting strategically. In this framework, the release of public announcements generates, through the complex market interactions, a coordination of the market activity around the public information released. Our model, combined with simulations, provides a deeper understanding of public information impact on traders' strategies and market prices (joint with Simone Alfarano and Eva Camacho-Cuena).
Please contact M.Hennequin@uva.nl if you have any questions about the lecture. Lunch will be provided for those attending the seminar.
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