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Information perception and price dynamics in a continuous double auction

Author

Listed:
  • Juliette Rouchier
  • Stéphane Robin

    (Centre National de Recherche Scientifique)

Abstract

The authors combine two methodologies—experimental economics and agent-based simulation—for the study of rational behavior of individuals in a market environment. The related market represents a competitive continuous double auction (CDA). Much of what is known about CDA is based on experimental research. The choice processes observed during behavior experiments are still not understood sufficiently. Therefore, in this article, the authors build an artificial society to analyze how perceptions of the market price affect individual strategies and collective behavior. More precisely, using an analytical science approach, they study learning (e.g., number of transactions memorized) and use of global versus local information. The result of their work mainly shows that the memory of past transactions is of little importance and that the revision of prices models the memory of agents adequately to demonstrate how rapidly price converges on an equilibrium state of the market.

Suggested Citation

  • Juliette Rouchier & Stéphane Robin, 2006. "Information perception and price dynamics in a continuous double auction," Simulation & Gaming, , vol. 37(2), pages 195-208, June.
    • Handle: RePEc:sae:simgam:v:37:y:2006:i:2:p:195-208
    DOI: 10.1177/1046878106287947
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