On the effects of competition between agent-based double auction markets

摘要

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 in the context of double auction markets. This paper examines how standard economic measurements, like allocative efficiency, are affected by the presence of multiple markets for the same goods, especially when the markets are competing for traders. We find that while dividing traders between several small markets typically leads to lower efficiency and worse convergence than grouping them into one large market, competition between markets for traders, can reduce these losses.