Individual Rationality as a Partial Impediment to Market Efficiency: Allocative Efficiency of Markets with Smart Traders

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@InCollection{ChenTaiChie:2002:gagpcf,
  author =       "Shu-Heng Chen and Chung-Ching Tai and Bin-Tzong Chie",
  title =        "Individual Rationality as a Partial Impediment to
                 Market Efficiency: Allocative Efficiency of Markets
                 with Smart Traders",
  booktitle =    "Genetic Algorithms and Genetic Programming in
                 Computational Finance",
  publisher =    "Kluwer Academic Press",
  year =         "2002",
  editor =       "Shu-Heng Chen",
  chapter =      "17",
  pages =        "357--377",
  keywords =     "genetic algorithms, genetic programming, Agent-Based
                 Double Auction Markets, Quote Limits, Alpha Value,
                 Allocative Efficiency",
  ISBN =         "0-7923-7601-3",
  URL =          "http://www.econ.iastate.edu/tesfatsi/shusmart.ps",
  URL =          "http://www.springer.com/economics/economic+theory/book/978-0-7923-7601-9",
  DOI =          "doi:10.1007/978-1-4615-0835-9_17",
  size =         "21 pages",
  abstract =     "we conduct two experiments within an agent-based
                 double auction market. These two experiments allow us
                 to see the effect of learning and smartness on price
                 dynamics and allocative efficiency. Our results are
                 largely consistent with the stylized facts observed in
                 experimental economics with human subjects. From the
                 amelioration of price deviation and allocative
                 efficiency, the effect of learning is vividly seen.
                 However, smartness does not enhance market performance.
                 In fact, the experiment with smarter agents (agents
                 without a quote limit) results in a less stable price
                 dynamics and lower allocative efficiency.",
  notes =        "part of \cite{chen:2002:gagpcf}",
}

Genetic Programming entries for Shu-Heng Chen Chung-Ching Tai Bin-Tzong Chie

Citations