Learning to trade in an unbalanced market
We 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.
|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|
|Contact details of provider:|| Postal: San Giobbe, Cannaregio 873, 30121 Venezia|
Phone: +39 0412348721
Fax: +39 0412348701
Web page: http://www.unive.it/dip.management
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References listed on IDEAS
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- Marco LiCalzi & Paolo Pellizzari, 2008. "Zero-Intelligence Trading without Resampling," Working Papers 164, Department of Applied Mathematics, Università Ca' Foscari Venezia.
- Dhananjay K. Gode & Shyam Sunder, 1997. "What Makes Markets Allocationally Efficient?," The Quarterly Journal of Economics, Oxford University Press, vol. 112(2), pages 603-630.
- 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
10-01, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- 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, vol. 23(3), pages 539-573, July.
- Shira Fano & Marco Li Calzi & Paolo Pellizzari, 2010.
"Convergence of outcomes and evolution of strategic behavior in double auctions,"
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, vol. 23(3), pages 513-538, July.
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