More than Zero Intelligence Needed for Continuous Double-Auction Trading
نویسندگان
چکیده
Gode & Sunder's (1993) results from using \zerointelligence" (zi) traders, that act randomly within a continuous double-auction (cda) market, appear to imply that human-like convergence to the theoretical equilibrium price in such markets is determined more by market structure than by the intelligence of the traders in that market. This paper presents a mathematical analysis that predicts serious failures in zi-trader cda markets. The analytical predictions are con rmed by computer simulations. Thus, more than zero intelligence is required of trading agents to yield humanlike cda market behavior.
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