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原文連結
論文資訊
- 類型：已發表論文
- 日期：1999
摘要
The widespread use and proven profitability of technical trading rules in financial markets has long been a puzzle in academic finance. In this paper we show, using the Santa Fe artificial stock market market, that widespread technical trading can arise due to a multiperson prisoners' dilemma in which the inclusion of technical trading rules to a single 智能體's repertoire of rules is a dominant strategy. The use of this dominant strategy by all 智能體s: in the market creates a symmetric Nash equilibrium in which wealth earned is lower and the volatility of prices is higher than in the hypothetical case in which all 智能體s rely only on fundamental rules. Our explanation of this lower wealth and higher volatility is that the use of technical trading rules worsens the accuracy of the predictions of
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