MARSILI, MATTEO; CHALLET, DAMIEN - In: Advances in Complex Systems (ACS) 04 (2001) 01, pp. 3-17
We study the relation between the trading behavior of agents and volatility in toy markets of adaptive inductively rational agents. We show that excess volatility, in such simplified markets, arises as a consequence of (i) the neglect of market impact implicit in price taking behavior and of...