Competition between double auction markets

Paper:

On the economic effects of competition between double auction markets

Appears:

10th Workshop on Agent-Mediated Electronic Commerce

Abstract:

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 several small markets typically leads to lower efficiency than grouping them into one large market, the movement of traders between markets, and price incentives for changing markets, can reduce this loss of efficiency.

Keywords:

{Continuous double auction, clearing-house, multiple markets.

Availability:

This paper is available as a PDF file.

Other information:

This paper is a copy of the camera-ready version that appeared in the workshop proceedings.