The Effect of Transaction Costs on Artificial Continuous Double Auction Markets
msra(2010)
摘要
Fast price convergence and high allocative market efficiency (close to 100%) are two of the most robust results in Experimental
Economics. When human-subjects are replaced by artificial-agents, high allocative market efficiency is also attained even
if the artificial agents have zero intelligence, but price convergence depends on the agents’ learning. In this paper we study
the sensitivity of Continuous Double Auction performance to the imposition of monetary costs in the market. We find that transactions
costs reduce market efficiency. Price convergence results are very different when the monetary cost is imposed on the transaction
or on the submissions to buy or to sell. Our agent-based market model confirms and extends previous Experimental Economics
market results, and provides new behavioral explanations of the price dynamics.
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