TRADING RESTRICTIONS, PRICE DYNAMICS AND ALLOCATIVE EFFICIENCY IN DOUBLE AUCTION MARKETS: ANALYSIS BASED ON AGENT-BASED MODELING AND SIMULATIONS

Shu-Heng Chen and Chung-Ching Tai

Advances in Complex Systems (ACS), 2003, vol. 06, issue 03, 283-302

Abstract: In this paper we conduct two experiments within an agent-based double auction market. These two experiments allow us to see the effect of learning and smartness on price dynamics and allocative efficiency. Our results are largely consistent with the stylized facts observed in experimental economics with human subjects. From the amelioration of price deviation and allocative efficiency, the effect of learning is vividly seen. However, smartness does not enhance market performance. In fact, the experiment with smarter agents (agents without a quote limit) results in a less stable price dynamics and lower allocative efficiency.

Keywords: Agent-based DA market; genetic programming; quote limit; alhpa value; allocative efficiency (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (6)

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DOI: 10.1142/S021952590300089X

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