IDEAS home Printed from https://ideas.repec.org/a/wsi/acsxxx/v06y2003i03ns021952590300089x.html
   My bibliography  Save this article

Trading Restrictions, Price Dynamics And Allocative Efficiency In Double Auction Markets: Analysis Based On Agent-Based Modeling And Simulations

Author

Listed:
  • SHU-HENG CHEN

    (AI-ECON Research Center, Department of Economics, National Chengchi University, Taipei, 11623, Taiwan, ROC)

  • CHUNG-CHING TAI

    (AI-ECON Research Center, Department of Economics, National Chengchi University, Taipei, 11623, Taiwan, ROC)

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.

Suggested Citation

  • Shu-Heng Chen & Chung-Ching Tai, 2003. "Trading Restrictions, Price Dynamics And Allocative Efficiency In Double Auction Markets: Analysis Based On Agent-Based Modeling And Simulations," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 6(03), pages 283-302.
    • Handle: RePEc:wsi:acsxxx:v:06:y:2003:i:03:n:s021952590300089x
    DOI: 10.1142/S021952590300089X
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S021952590300089X
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S021952590300089X?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Shu-Heng Chen & Jenn-Shyong Kuo & Chu-Chia Lin, 1996. "From the Hayek Hypothesis to Animal Spirits: The Phase Transition Based on Competitive Experimental Market," Palgrave Macmillan Books, in: Daniel Vaz & Kumaraswamy Velupillai (ed.), Inflation, Institutions and Information, chapter 12, pages 290-318, Palgrave Macmillan.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Chia-Hsuan Yeh, 2007. "The role of intelligence in time series properties," Computational Economics, Springer;Society for Computational Economics, vol. 30(2), pages 95-123, September.
    2. Yeh, Chia-Hsuan, 2008. "The effects of intelligence on price discovery and market efficiency," Journal of Economic Behavior & Organization, Elsevier, vol. 68(3-4), pages 613-625, December.
    3. Chen, Shu-Heng, 2012. "Varieties of agents in agent-based computational economics: A historical and an interdisciplinary perspective," Journal of Economic Dynamics and Control, Elsevier, vol. 36(1), pages 1-25.
    4. Marta Posada & Adolfo López-Paredes, 2007. "How to Choose the Bidding Strategy in Continuous Double Auctions: Imitation Versus Take-The-Best Heuristics," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 11(1), pages 1-6.
    5. Shu-Heng Chen & Chung-Ching Tai, 2006. "On the Selection of Adaptive Algorithms in ABM: A Computational-Equivalence Approach," Computational Economics, Springer;Society for Computational Economics, vol. 28(1), pages 51-69, August.
    6. Shu-Heng Chen & Chung-Ching Tai, 2006. "Republication: On the Selection of Adaptive Algorithms in ABM: A Computational-Equivalence Approach," Computational Economics, Springer;Society for Computational Economics, vol. 28(4), pages 313-331, November.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.

      Corrections

      All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:acsxxx:v:06:y:2003:i:03:n:s021952590300089x. See general information about how to correct material in RePEc.

      If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

      If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

      If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

      For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/acs/acs.shtml .

      Please note that corrections may take a couple of weeks to filter through the various RePEc services.

      IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.