Stress and Expectation in Double-Auction Market: Simulations to Study Models Deduced from Experimental Economics

Stress and Expectation in Double-Auction Market: Simulations to Study Models Deduced from Experimental Economics

Juliette Rouchier (GREQAM, France) and Stephane Robin (GATE, France)
Copyright: © 2008 |Pages: 12
DOI: 10.4018/978-1-59904-522-1.ch023
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Abstract

This paper describes a multi-agent model of double-auction market in which simulations are led. In our study of market we focus on information processing and hence make assumptions about the cognitive use that agents do of these information. For some years now, experiments have been used to study auctions and now resulting data are used to make hy-pothesis about learning. We propose here simulations that are organised on the same model as experiments, as a succession of auctions session where each agent is either seller or buyer and has to exchange before the end. Communicaton is made of bids and asks that can be accepted by the others and lead to transactions. Our main result is the fact that we actu-ally obtain convergence although agents have no knowledge of others’ limit prices and only interact through a completely impersonal market. This corresponds to experimental data, which is a positive result in our search of the representation for economic rationality and is discussed methodologically in the paper.

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