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Published August 2022 | Accepted Version
Journal Article Open

The role of information in a continuous double auction: An experiment and learning model

Abstract

We analyze trading in a modified continuous double auction market. We study how more or less information about trading in a prior round affects allocative and informational efficiency. We find that more information reduces allocative efficiency in early rounds relative to less information but that the difference disappears in later rounds. Informational efficiency is not affected by the information differences. We complement the experiment with simulations of the Individual Evolutionary Learning model which, after modifications to account for the CDA, seems to fit the data reasonably well.

Additional Information

© 2022 Elsevier. Available online 14 April 2022, Version of Record 26 July 2022. We thank the organizers and participants of the 2021 Conference on Markets and Economies with Information Frictions, and especially the discussant, Te Bao, for many suggestions that helped to improve the paper. We also thank participants of the ESA meeting in Tucson, and the seminar at Simon Fraser University for their comments on the earliest results of this research. We are grateful to Michiel van de Leur for providing research assistance during the earlier stages of this research. Mikhail Anufriev acknowledges financial support from the Australian Research Council through Discovery Project DP200101438.

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Additional details

Created:
August 22, 2023
Modified:
October 24, 2023