Learning to Trade in an Unbalanced Market

15 Pages Posted: 12 Jun 2011 Last revised: 16 Jun 2011

See all articles by Florian Hauser

Florian Hauser

University of Innsbruck

Marco LiCalzi

Dept. Management, Università Ca' Foscari Venezia

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Date Written: April 25, 2011

Abstract

We study the evolution of trading strategies in double auctions as the size of the market gets larger. When the number of buyers and sellers is balanced, Fano et al. (2011) show that the choice of the order-clearing rule (simultaneous or asynchronous) steers the emergence of fundamentally different strategic behavior. We extend their work to unbalanced markets, confirming their main result as well as that allocative inefficiency tends to zero. On the other hand, we discover that convergence to the competitive outcome takes place only when the market is large and that the long side of the market is more effective at improving its disadvantaged terms of trade under asynchronous order-clearing.

Keywords: trading protocols, market design, allocative efficiency, genetic programming

JEL Classification: G10, D82, C63

Suggested Citation

Hauser, Florian and LiCalzi, Marco, Learning to Trade in an Unbalanced Market (April 25, 2011). Available at SSRN: https://ssrn.com/abstract=1862792 or http://dx.doi.org/10.2139/ssrn.1862792

Florian Hauser

University of Innsbruck ( email )

Universitätsstraße 15
Innsbruck, Innsbruck 6020
Austria

Marco LiCalzi (Contact Author)

Dept. Management, Università Ca' Foscari Venezia ( email )

San Giobbe, Cannaregio 873
Venice, 30121
Italy
+39-0412346925 (Phone)
+39-0412347444 (Fax)

HOME PAGE: http://venus.unive.it/licalzi/

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