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政大機構典藏 > 社會科學學院 > 經濟學系 > 期刊論文 > Item 140.119/60919

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/60919

Title:	Reinforcement Learning in Experimental Asset Markets
Authors:	Chen,Shu-Heng;Hsieh,Yi-Lin 陳樹衡
Contributors:	政大經濟系
Keywords:	reinforcement learning;prediction market experiments;limit order;market order;zero intelligence
Date:	2011
Issue Date:	2013-09-16 16:05:39 (UTC+8)
Abstract:	In this paper, we study the learning behavior possibly emerging in six series of prediction market experiments. We first find, from the experimental outcomes, that there is a general positive correlation between subjects’ earning performance and their reliance on using limit orders to trade. We therefore focus on the subjects’ learning behavior in terms of their use of limit orders or market orders by estimating a three-parameter Roth–Erev reinforcement learning model. The results of the estimated parameters show not just their great heterogeneity, but also the sharp contrasts among subjects, which in turn impact the subjects’ earning performance.
Relation:	Eastern Economic Journal, 37, 109-133
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1057/eej.2010.57
DOI:	10.1057/eej.2010.57
Appears in Collections:	[經濟學系] 期刊論文

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