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The Allocative Effectiveness of Market Protocols Under Intelligent Trading

In: Advances in Artificial Economics

Author

Listed:
  • Marco LiCalzi

    (U. of Venice)

  • Paolo Pellizzari

    (U. of Venice)

Abstract

We study the performance of four market protocols that lead to allocative efficiency: batch auction, continuous double auction, specialist dealership, and a hybrid of these last two. In a former study, we compared them with respect to several additional performance criteria under the assumption of zero intelligence. This paper analyzes three performance criteria under different ways to remove the assumption of zero intelligence. The following conclusions are robust. The number of wasteful transaction is minimized by the batch auction and the dealership. Moreover, the former minimizes price dispersion and the latter minimizes time to convergence.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Marco LiCalzi & Paolo Pellizzari, 2006. "The Allocative Effectiveness of Market Protocols Under Intelligent Trading," Lecture Notes in Economics and Mathematical Systems, in: Charlotte Bruun (ed.), Advances in Artificial Economics, chapter 2, pages 17-29, Springer.
    • Handle: RePEc:spr:lnechp:978-3-540-37249-3_2
    DOI: 10.1007/3-540-37249-0_2
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    Cited by:

    1. LiCalzi, Marco & Pellizzari, Paolo, 2007. "Simple market protocols for efficient risk sharing," Journal of Economic Dynamics and Control, Elsevier, vol. 31(11), pages 3568-3590, November.
    2. Michiel Leur & Mikhail Anufriev, 2018. "Timing under individual evolutionary learning in a continuous double auction," Journal of Evolutionary Economics, Springer, vol. 28(3), pages 609-631, August.
    3. Marco LiCalzi & Paolo Pellizzari, 2008. "Zero-Intelligence Trading Without Resampling," Lecture Notes in Economics and Mathematical Systems, in: Klaus Schredelseker & Florian Hauser (ed.), Complexity and Artificial Markets, chapter 1, pages 3-14, Springer.
    4. Ladley, Dan & Schenk-Hoppé, Klaus Reiner, 2009. "Do stylised facts of order book markets need strategic behaviour?," Journal of Economic Dynamics and Control, Elsevier, vol. 33(4), pages 817-831, April.
    5. Cappellini, Alessandro & Ferraris, Gianluigi, 2007. "Waiting Times in Simulated Stock Markets," MPRA Paper 7324, University Library of Munich, Germany.
    6. Marco LiCalzi & Lucia Milone & Paolo Pellizzari, 2011. "Allocative Efficiency and Traders’ Protection Under Zero Intelligence Behavior," Dynamic Modeling and Econometrics in Economics and Finance, in: Herbert Dawid & Willi Semmler (ed.), Computational Methods in Economic Dynamics, pages 5-28, Springer.
    7. Alessandro N. Cappellini & Gianluigi Ferraris, 2009. "Waiting Times In Simulated Stock Markets," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 12(02), pages 195-206.

    More about this item

    Keywords

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    JEL classification:

    • D61 - Microeconomics - - Welfare Economics - - - Allocative Efficiency; Cost-Benefit Analysis
    • G19 - Financial Economics - - General Financial Markets - - - Other
    • D44 - Microeconomics - - Market Structure, Pricing, and Design - - - Auctions
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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