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題名: Reinforcement Learning in Experimental Asset Markets
作者: Chen,Shu-Heng;Hsieh,Yi-Lin
陳樹衡
貢獻者: 政大經濟系
關鍵詞: reinforcement learning;prediction market experiments;limit order;market order;zero intelligence
日期: 2011
上傳時間: 2013-09-16 16:05:39 (UTC+8)
摘要: 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.
關聯: Eastern Economic Journal, 37, 109-133
資料類型: article
DOI 連結: http://dx.doi.org/10.1057/eej.2010.57
顯示於類別:[經濟學系] 期刊論文

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