Physical Sciences and Mathematics Commons^™

On The Effects Of Competition Between Agent-Based Double Auction Markets, Kai Cai, Jinzhong Niu, Simon Parsons

Publications and Research

Real market institutions, stock and commodity exchanges for example, do not occur in isolation. The same stocks and commodities may be listed on multiple exchanges, and traders who want to deal in those goods have a choice of markets in which to trade. While there has been extensive research into agent-based trading in individual markets, there is little work on this kind of multiple market scenario. Our work seeks to address this imbalance, examining how standard economic measures, like allocative efficiency, are affected by the presence of multiple markets for the same good. We find that while dividing traders between …