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

Created by W.Langdon from gp-bibliography.bib Revision:1.7642

@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