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Zero-Intelligence Trading Without Resampling

  • Marco LiCalzi
  • Paolo Pellizzari
Part of the Lecture Notes in Economics and Mathematical Systems book series (LNE, volume 614)

Abstract

This paper studies the consequences of removing the resampling assumption from the zero-intelligence trading model in Gode and Sunder (1993). We obtain three results. First, individual rationality is no longer sufficient to attain allocative efficiency in a continuous double auction; hence, the rules of the market matter. Second, the allocative efficiency of the continuous double auction is higher than for other sequential protocols both with or without resampling. Third, compared to zero intelligence, the effect of learning on allocative efficiency is sharply positive without resampling and mildly negative with resampling.

Keywords

Equilibrium Price Allocative Efficiency Transaction Price Market Discipline Double Auction 
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Copyright information

© Springer-Verlag Berlin Heidelberg 2008

Authors and Affiliations

  • Marco LiCalzi
    • 1
  • Paolo Pellizzari
    • 1
  1. 1.Department of Applied Mathematics and SSEUniversità Ca’ Foscari di VeneziaVeniceItaly

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