More than Zero Intelligence Needed for Continuous Double-Auction Trading
作者： Dave Cliff , Janet Bruten
DOI:
关键词: Market structure 、 Continuous double auction 、 Yield (finance) 、 Convergence (routing) 、 Mathematics 、 Zero intelligence 、 Mathematical economics 、 Market behavior
摘要: Gode & Sunder's (1993) results from using \zerointelligence" (zi) traders, that act randomly within a continuous double-auction (cda) market, appear to imply human-like convergence the theoretical equilibrium price in such markets is determined more by market structure than intelligence of traders market. This paper presents mathematical analysis predicts serious failures zi-trader cda markets. The analytical predictions are con rmed computer simulations. Thus, zero required trading agents yield humanlike behavior.
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