Rate of Return Parity with Robot Asset Traders
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Human populated experimental asset markets produce data with two major qualitative consistencies; finite price bubbles and rate of return parity. Robot traders following different behavioural rules are used to create data that is qualitatively similar to that produced by human subjects in a laboratory setting. A trend pricing component of behaviour is required for robots to generate finite price bubbles. A single arbitrageur in combination with trend pricing and simple profit maximization is required to generate rate of return parity.
Keywordsinterest rate parity rate of return parity arbitrage
JEL ClassificationsC89 F3 G12
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