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Comments on “the role of information in a continuous double auction: An experiment and learning model” by Mikhail Anufriev, Jasmina Arifovic, John Ledyard and Valentyn Panchenko

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  • Bao, Te

Abstract

Anufriev et al. study whether more detailed order book information is always better for market efficiency in a modified continuous double auction market. This paper belongs to a broad research agenda on the impact of information transparency and trading speed on market stability. This comment discusses the implication of this research agenda on the design of market institutions and regulatory policies with the rise of mobile trading platforms and algorithm trading.

Suggested Citation

  • Bao, Te, 2022. "Comments on “the role of information in a continuous double auction: An experiment and learning model” by Mikhail Anufriev, Jasmina Arifovic, John Ledyard and Valentyn Panchenko," Journal of Economic Dynamics and Control, Elsevier, vol. 141(C).
    • Handle: RePEc:eee:dyncon:v:141:y:2022:i:c:s0165188922000926
    DOI: 10.1016/j.jedc.2022.104388
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    References listed on IDEAS

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    1. Xue-Zhong He & Junqing Kang & Xuan Zhou, 2020. "The Fast and the Furious: Exchange Latency and Ever-fast Trading," Research Paper Series 419, Quantitative Finance Research Centre, University of Technology, Sydney.
    2. Asako, Yasushi & Funaki, Yukihiko & Ueda, Kozo & Uto, Nobuyuki, 2020. "(A)symmetric information bubbles: Experimental evidence," Journal of Economic Dynamics and Control, Elsevier, vol. 110(C).
    3. Arifovic, Jasmina & Ledyard, John, 2007. "Call market book information and efficiency," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1971-2000, June.
    4. Matthias Sutter & Jürgen Huber & Michael Kirchler, 2012. "Bubbles and Information: An Experiment," Management Science, INFORMS, vol. 58(2), pages 384-393, February.
    5. Te Bao & Edward Halim & Charles N. Noussair & Yohanes E. Riyanto, 2021. "Managerial incentives and stock price dynamics: an experimental approach," Experimental Economics, Springer;Economic Science Association, vol. 24(2), pages 617-648, June.
    6. Yan Peng & Jason Shachat & Lijia Wei & S. Sarah Zhang, 2020. "Speed Traps: Algorithmic Trader Performance Under Alternative Market Structures," Working Papers 20-39, Chapman University, Economic Science Institute.
    7. Te Bao & Edward Halim & Charles N. Noussair & Yohanes E. Riyanto, 2021. "Correction: Managerial incentives and stock price dynamics: an experimental approach," Experimental Economics, Springer;Economic Science Association, vol. 24(2), pages 649-649, June.
    8. Vernon L. Smith, 1980. "Relevance of Laboratory Experiments to Testing Resource Allocation Theory," NBER Chapters, in: Evaluation of Econometric Models, pages 345-377, National Bureau of Economic Research, Inc.
    9. Oechssler, Jörg & Schmidt, Carsten & Schnedler, Wendelin, 2011. "On the ingredients for bubble formation: Informed traders and communication," Journal of Economic Dynamics and Control, Elsevier, vol. 35(11), pages 1831-1851.
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    More about this item

    Keywords

    Continuous double auction; Experimental economics; Experimental finance;
    All these keywords.

    JEL classification:

    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • D44 - Microeconomics - - Market Structure, Pricing, and Design - - - Auctions

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