Three minimal market institutions with human and algorithmic agents: Theory and experimental evidence

• 成果类型: Article
• 署名作者: Huber, Juergen; Shubik, Martin; Sunder, Shyam
• 署名单位: Yale University; University of Innsbruck
• 刊物名称: GAMES AND ECONOMIC BEHAVIOR
• ISSN/ISSBN: 0899-8256
• DOI: 10.1016/j.geb.2010.01.010
• 发表日期: 2010
• 页码: 403-424
• 关键词: strategic market games; laboratory experiments; Minimally intelligent agents; Adaptive learning agents; general equilibrium

摘要

We define and examine three minimal market games (sell-all, buy-sell, and double auction) in the laboratory relative to the predictions of theory. These closed exchange economies have some cash to facilitate transactions, and include feedback. The experiment reveals that (1) the competitive general equilibrium (CGE) and non-cooperative (NCE) models are reasonable anchors to locate most but not all the observed outcomes of the three market mechanisms; (2) outcomes tend to get closer to CGE predictions as the number of players increases; (3) prices and allocations in double auctions deviate persistently from CGE predictions; (4) the outcome paths across the three market mechanisms differ significantly and persistently; (5) importance of market structures for outcomes is reinforced by algorithmic trader simulations; and (6) none of the three markets dominates the others across six measures of performance. Inclusion of some mechanism differences into theory may enhance our understanding of important aspects of markets. (C) 2010 Shyam Sunder. Published by Elsevier Inc. All rights reserved.