IEL-CDA model: A more accurate theory of behavior in continuous double auctions

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F25%3A10257128" target="_blank" >RIV/61989100:27510/25:10257128 - isvavai.cz</a>

Výsledek na webu

<a href="https://www.sciencedirect.com/science/article/pii/S0165188924000320?via%3Dihub" target="_blank" >https://www.sciencedirect.com/science/article/pii/S0165188924000320?via%3Dihub</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.jedc.2024.104840" target="_blank" >10.1016/j.jedc.2024.104840</a>

Jazyk výsledku

angličtina

Název v původním jazyce

IEL-CDA model: A more accurate theory of behavior in continuous double auctions

Popis výsledku v původním jazyce

The continuous double auction (CDA) is a well-studied and widely used trading institution. However, there is no universally accepted theory regarding the dynamics of price formation, especially within the first period, that has endured experimental testing. In this paper, we introduce a behavioral model called IEL-CDA, which builds upon the Individual Evolutionary Learning (IEL) model of Arifovic et al. (2022). We enhance IEL by (a) incorporating Marshallian Selection, favoring traders with a higher expected surplus in making offers, and (b) allowing a trader&apos;s hypothetical reasoning to depend on the history of transactions. Using new experimental data, we test the hypothesis that efficiencies and average prices observed in the experiments follow the same distribution as those produced by simulations with various models. The hypothesis is rejected for both the Zero Intelligent theory of Gode and Sunder (1993) and IEL; however, it is not rejected for IEL-CDA. Therefore, IEL-CDA emerges as a more accurate theory of behavior in the continuous double auction.

Název v anglickém jazyce

IEL-CDA model: A more accurate theory of behavior in continuous double auctions

Popis výsledku anglicky

The continuous double auction (CDA) is a well-studied and widely used trading institution. However, there is no universally accepted theory regarding the dynamics of price formation, especially within the first period, that has endured experimental testing. In this paper, we introduce a behavioral model called IEL-CDA, which builds upon the Individual Evolutionary Learning (IEL) model of Arifovic et al. (2022). We enhance IEL by (a) incorporating Marshallian Selection, favoring traders with a higher expected surplus in making offers, and (b) allowing a trader&apos;s hypothetical reasoning to depend on the history of transactions. Using new experimental data, we test the hypothesis that efficiencies and average prices observed in the experiments follow the same distribution as those produced by simulations with various models. The hypothesis is rejected for both the Zero Intelligent theory of Gode and Sunder (1993) and IEL; however, it is not rejected for IEL-CDA. Therefore, IEL-CDA emerges as a more accurate theory of behavior in the continuous double auction.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

<a href="/cs/project/GA22-28882S" target="_blank" >GA22-28882S: Interakce mezi finančními trhy a reálným sektorem: Modelování, experimenty a politika</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2025

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Journal of Economic Dynamics and Control

ISSN

0165-1889

e-ISSN

1879-1743

Svazek periodika

172

Číslo periodika v rámci svazku

March

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

19

Strana od-do

104840

Kód UT WoS článku

001427095100001

EID výsledku v databázi Scopus

2-s2.0-85186706657