Chaggar, S., Noble, J. and Cliff, D. (2008) The effects of periodic and continuous market environments on the performance of trading agents. In: Artificial Life XI: Proceedings of the Eleventh International Conference on the Simulation and Synthesis of Living Systems, pp. 110-117, MIT Press, Cambridge, MA.
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Abstract
Simulation experiments are conducted on simple continuous
double auction (CDA) markets based on the experimental
economics work of Vernon Smith. CDA models within experimental
economics usually consist of a sequence of discrete
trading periods or “days”, with allocations of stock and currency
replenished at the start of each day, a situation we call
“periodic” replenishment. In our experiments we look at both
periodic and continuous-replenishment versions of the CDA.
In this we build on the work of Cliff and Preist (2001) with
human subjects, but we replace human traders with Zero Intelligence
Plus (ZIP) trading agents, a minimal algorithm that
can produce equilibrating market behaviour in CDA models.
Our results indicate that continuous-replenishment (CR)
CDA markets are similar to conventional periodic CDA markets
in their ability to show equilibration dynamics. Secondly
we show that although both models produce the same behaviour
of price formation, they are different playing fields,
as periodic markets are more efficient over time than their
continuous counterparts. We also find, however, that the volume
of trade in periodic CDA markets is concentrated in the
early period of each trading day, and the market is in this
sense inefficient. We look at whether ZIP agents require different
parameters for optimal behaviour in each market type,
and find that this is indeed the case. Overall, our conclusions
mirror earlier findings on the robustness of the CDA, but we
stress that a CR-CDA marketplace equilibrates in a different
way to a periodic one.
| Creators: | S. Chaggar, J. Noble, D. Cliff |
|---|---|
| Editors: | S. Bullock, J. Noble, R. Watson, M. A. Bedau |
| Item Type: | Book Section |
| Research Group: | Science and Engineering of Natural Systems |
| Deposited On: | 01 Oct 2008 16:38 by Noble, Jason |
| ID Code: | 16739 |
| Last Modified: | 06 Jan 2010 14:12 |
| Performance Indicator: | EZ~03~01~04 |
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