The allocative effectiveness of market protocols under intelligent trading

Marco LiCalzi and Paolo Pellizzari

No 134, Working Papers from Department of Applied Mathematics, Università Ca' Foscari Venezia

Abstract: We study the performance of four market protocols that lead to allocative efficiency: batch auction, continuous double auction, specialist dealership, and a hybrid of these last two. In a former study, we compared them with respect to several additional performance criteria under the assumption of zero intelligence. This paper analyzes three performance criteria under different ways to remove the assumption of zero intelligence. The following conclusions are robust. The number of wasteful transaction is minimized by the batch auction and the dealership. Moreover, the former minimizes price dispersion and the latter minimizes time to convergence.

Keywords: evaluation of market protocols; market design; microstructure; agent-based methodologies (search for similar items in EconPapers)
JEL-codes: C63 D44 D61 G19 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2006-05
New Economics Papers: this item is included in nep-cmp, nep-fin and nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Published in C. Bruun (ed.), Advances in Artificial Economics, Springer, 2006, 17-29

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Related works:
Chapter: The Allocative Effectiveness of Market Protocols Under Intelligent Trading (2006)
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