English, Article edition: TRADING RESTRICTIONS, PRICE DYNAMICS AND ALLOCATIVE EFFICIENCY IN DOUBLE AUCTION MARKETS: ANALYSIS BASED ON AGENT-BASED MODELING AND SIMULATIONS SHU-HENG CHEN; CHUNG-CHING TAI

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Bookmark: http://trove.nla.gov.au/version/143893
Physical Description
  • article
Language
  • English

Edition details

Title
  • TRADING RESTRICTIONS, PRICE DYNAMICS AND ALLOCATIVE EFFICIENCY IN DOUBLE AUCTION MARKETS: ANALYSIS BASED ON AGENT-BASED MODELING AND SIMULATIONS
Author
  • SHU-HENG CHEN
  • CHUNG-CHING TAI
Physical Description
  • article
Notes
  • In this paper we conduct two experiments within an agent-based double auction market. These two experiments allow us to see the effect of learning and smartness on price dynamics and allocative efficiency. Our results are largely consistent with the stylized facts observed in experimental economics with human subjects. From the amelioration of price deviation and allocative efficiency, the effect of learning is vividly seen. However, smartness does not enhance market performance. In fact, the experiment with smarter agents (agents without a quote limit) results in a less stable price dynamics and lower allocative efficiency.
  • Agent-based DA market, genetic programming, quote limit, alhpa value, allocative efficiency
  • RePEc:wsi:acsxxx:v:06:y:2003:i:03:p:283-302
Language
  • English
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