Evolutionary Sequential Trading

Ryosuke Ishii ()
Additional contact information
Ryosuke Ishii: Institute of Intellectual Property

Economics Bulletin, 2010, vol. 30, issue 1, 192-203

Abstract: This paper analyzes an Easley and O'Hara (1992) type sequential trading model in an evolutionary setting. We assume that the memory of a market maker is limited, and that traders endogenously choose whether to acquire private information with a fixed cost. We show that the ratio of the informed traders is proportional to the width of the bid ask spread, and that the price converges to the strong-form efficient level exponentially.

Keywords: Market microstructure; Information asymmetry; Bayesian learning; Bid-ask spread; Evolutionary game theory (search for similar items in EconPapers)
JEL-codes: D4 (search for similar items in EconPapers)
Date: 2010-01-13
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2010/Volume30/EB-10-V30-I1-P17.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-09-00438

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().