The role of information in a continuous double auction: An experiment and learning model: The Role of Information in CDA

Anufriev, M; Arifovic, J; Ledyard, J; Panchenko, V

The role of information in a continuous double auction: An experiment and learning model: The Role of Information in CDA

Anufriev, M

Arifovic, J Ledyard, J Panchenko, V

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Publisher:: Elsevier BV
Publication Type:: Journal Article
Citation:: Journal of Economic Dynamics and Control, 2022, 141, pp. 104387
Issue Date:: 2022-08-01

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Field	Value	Language
dc.contributor.author	Anufriev, M https://orcid.org/0000-0002-1842-6814
dc.contributor.author	Arifovic, J
dc.contributor.author	Ledyard, J
dc.contributor.author	Panchenko, V
dc.date.accessioned	2022-10-27T03:39:12Z
dc.date.available	2022-10-27T03:39:12Z
dc.date.issued	2022-08-01
dc.identifier.citation	Journal of Economic Dynamics and Control, 2022, 141, pp. 104387
dc.identifier.issn	0165-1889
dc.identifier.uri	http://hdl.handle.net/10453/162744
dc.description.abstract	We analyze trading in a modified continuous double auction market. We study how more or less information about trading in a prior round affects allocative and informational efficiency. We find that more information reduces allocative efficiency in early rounds relative to less information but that the difference disappears in later rounds. Informational efficiency is not affected by the information differences. We complement the experiment with simulations of the Individual Evolutionary Learning model which, after modifications to account for the CDA, seems to fit the data reasonably well.
dc.language	en
dc.publisher	Elsevier BV
dc.relation	http://purl.org/au-research/grants/arc/DP200101438
dc.relation.ispartof	Journal of Economic Dynamics and Control
dc.relation.isbasedon	10.1016/j.jedc.2022.104387
dc.rights	info:eu-repo/semantics/closedAccess
dc.subject	1401 Economic Theory, 1402 Applied Economics, 1502 Banking, Finance and Investment
dc.subject.classification	Economics
dc.title	The role of information in a continuous double auction: An experiment and learning model: The Role of Information in CDA
dc.type	Journal Article
utslib.citation.volume	141
utslib.for	1401 Economic Theory
utslib.for	1402 Applied Economics
utslib.for	1502 Banking, Finance and Investment
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Economics Discipline
utslib.copyright.status	closed_access	*
dc.date.updated	2022-10-27T03:38:44Z
pubs.publication-status	Published
pubs.volume	141

Abstract:

We analyze trading in a modified continuous double auction market. We study how more or less information about trading in a prior round affects allocative and informational efficiency. We find that more information reduces allocative efficiency in early rounds relative to less information but that the difference disappears in later rounds. Informational efficiency is not affected by the information differences. We complement the experiment with simulations of the Individual Evolutionary Learning model which, after modifications to account for the CDA, seems to fit the data reasonably well.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/162744