Zero-Intelligence vs. Human Agents: An Experimental Analysis of the Efficiency of Double Auctions and Over-the-Counter Markets of Varying Sizes
Zero-Intelligence vs. Human Agents: An Experimental Analysis of the Efficiency of Double Auctions and Over-the-Counter Markets of Varying Sizes
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发表时间：
2020
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通讯作者：
G. Attanasi;S. Centorrino;Elena Manzoni
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作者：
G. Attanasi;S. Centorrino;Elena Manzoni
我们研究了两个著名的电子市场：一个是场外交易（OTC）市场，每个代理商通过双边谈判寻找最佳对手，另一个是双重拍卖（DA）市场，交易者公开发布他们的报价。我们关注DA-OTC效率差距，并展示它如何随不同的市场规模（10，20，40和80名交易者）而变化。我们比较了6,400名经济学本科生的实验结果与基于零智能（ZI）代理的模拟。对ZI交易者的模拟表明，在DA和OTC下，交易量（相对于有效交易量）都随着市场规模的增加而增加。人类交易者的实验结果证实了DA下的相同趋势，而交易量高于（低于）有效交易量的时间段的比例随着场外交易下市场规模的增加而减少（增加），最终导致DA-场外交易效率差距随着市场规模的增加而增加。我们合理化这些结果提出了一个新的博弈论模型的场外交易市场作为一个重复的讨价还价过程下的不完全信息买方的估值和卖方的成本，显示效率如何随着规模略有下降，由于两个抵消作用：在早期的接受率随着规模的下降，和早期的报价增加，但并不总是足以补偿接受率的下降。
We study two well-known electronic markets: an over-the-counter (OTC) market, in which each agent looks for the best counterpart through bilateral negotiations, and a double auc- tion (DA) market, in which traders post their quotes publicly. We focus on the DA-OTC efficiency gap and show how it varies with different market sizes (10, 20, 40, and 80 traders). We compare experimental results from a sample of 6,400 undergraduate students in Economics with zero-intelligent (ZI) agent-based simulations. Simulations with ZI traders show that the traded quantity (with respect to the efficient one) increases with market size under both DA and OTC. Experimental results with human traders confirm the same tendency under DA, while the share of periods in which the traded quantity is higher (lower) than the efficient one decreases (increases) with market size under OTC, ultimately leading to a DA-OTC efficiency gap increasing with market size. We rationalize these results by putting forward a novel game-theoretical model of OTC market as a repeated bargaining procedure under incomplete information on buyers’ valuations and sellers’ costs, showing how efficiency decreases slightly with size due to two counteracting effects: acceptance rates in earlier periods decrease with size, and earlier offers increase, but not always enough to compensate the decrease in acceptance rates.