Zero-Intelligence Trading without Resampling
This paper studies the consequences of removing the resampling assumption from the zero-intelligence trading model in Gode and Sunder (1993). We obtain three results. First, individual rationality is no longer sufficient to attain allocative effciency in a continuous double auction; hence, the rules of the market matter. Second, the allocative effciency of the continuous double auction is higher than for other sequential protocols both with or without resampling. Third, compared to zero intelligence, the effect of learning on allocative effciency is sharply positive without resampling and mildly negative with resampling.
|Date of creation:||May 2008|
|Date of revision:|
|Publication status:||Published in K. Schredelseker and F. Hauser (eds.), Complexity and Artificial Markets, Springer, 2008, 3-14|
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- Marco LiCalzi & Paolo Pellizzari, 2005.
"Simple market protocols for efficient risk sharing,"
- 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.
- Marco LiCalzi & Paolo Pellizzari, 2006. "Simple Market Protocols for Efficient Risk Sharing," Working Papers 136, Department of Applied Mathematics, Università Ca' Foscari Venezia.
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- Marco LiCalzi & Paolo Pellizzari, 2007. "Which market protocols facilitate fair trading?," Working Papers 151, Department of Applied Mathematics, Università Ca' Foscari Venezia.
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"A Stochastic Decentralized Resource Allocation Process: Part II,"
Econometric Society, vol. 43(3), pages 363-93, May.
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- Marco LiCalzi & Paolo Pellizzari, 2006. "The allocative effectiveness of market protocols under intelligent trading," Working Papers 134, Department of Applied Mathematics, Università Ca' Foscari Venezia.
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