The role of information in a continuous double auction: An experiment and learning model

Mikhail Anufriev, Jasmina Arifovic, John Ledyard and Valentyn Panchenko

Journal of Economic Dynamics and Control, 2022, vol. 141, issue C

Abstract: We analyze trading in a modified continuous double auction market. We study how more or less information about trading in a prior round affects allocative and informational efficiency. We find that more information reduces allocative efficiency in early rounds relative to less information but that the difference disappears in later rounds. Informational efficiency is not affected by the information differences. We complement the experiment with simulations of the Individual Evolutionary Learning model which, after modifications to account for the CDA, seems to fit the data reasonably well.

Keywords: Continuous double auction; Experiments; Individual evolutionary learning (search for similar items in EconPapers)
JEL-codes: C63 D44 D83 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:141:y:2022:i:c:s0165188922000914

DOI: 10.1016/j.jedc.2022.104387

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