Learning to trade in an unbalanced market
AbstractWe study the evolution of trading strategies in double auctions as the size of the market gets larger. When the number of buyers and sellers is balanced, Fano et al. (2011) show that the choice of the order-clearing rule (simultaneous or asynchronous) steers the emergence of fundamentally different strategic behavior. We extend their work to unbalanced markets, confirming their main result as well as that allocative inefficiency tends to zero. On the other hand, we discover that convergence to the competitive outcome takes place only when the market is large and that the long side of the market is more effective at improving its disadvantaged terms of trade under asynchronous order-clearing.
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Bibliographic InfoPaper provided by Department of Management, Università Ca' Foscari Venezia in its series Working Papers with number 2.
Length: 23 pages
Date of creation: Apr 2011
Date of revision:
Publication status: Published in S. Osinga, G.J. Hofstede, and T. Verwaart (eds.), Emergent Results of Artificial Economics, Springer, 2011, 65-76
Trading protocols; Market design; Allocative efficiency; Genetic Programming;
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-05-14 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Gode, Dhananjay K & Sunder, Shyam, 1997. "What Makes Markets Allocationally Efficient?," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 112(2), pages 603-30, May.
- Shira Fano & Marco Li Calzi & Paolo Pellizzari, 2010.
"Convergence of outcomes and evolution of strategic behavior in double auctions,"
Working Papers, Department of Applied Mathematics, UniversitÃ Ca' Foscari Venezia
196, Department of Applied Mathematics, Università Ca' Foscari Venezia.
- Shira Fano & Marco LiCalzi & Paolo Pellizzari, 2013. "Convergence of outcomes and evolution of strategic behavior in double auctions," Journal of Evolutionary Economics, Springer, Springer, vol. 23(3), pages 513-538, July.
- Marco LiCalzi & Paolo Pellizzari, 2008. "Zero-Intelligence Trading without Resampling," Working Papers, Department of Applied Mathematics, UniversitÃ Ca' Foscari Venezia 164, Department of Applied Mathematics, Università Ca' Foscari Venezia.
- Mikhail Anufriev & Jasmina Arifovic & John Ledyard & Valentyn Panchenko, 2013.
"Efficiency of continuous double auctions under individual evolutionary learning with full or limited information,"
Journal of Evolutionary Economics, Springer,
Springer, vol. 23(3), pages 539-573, July.
- Anufriev, M. & Arifovic, J. & Ledyard, D. & Panchenko, V., 2010. "Efficiency of Continuous Double Auctions under Individual Evolutionary Learning with Full or Limited Information," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance 10-01, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marco LiCalzi).
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