Zero is Not Enough: On The Lower Limit of Agent Intelligence For Continuous Double Auction Markets†
Zero is Not Enough: On The Lower Limit of Agent Intelligence For Continuous Double Auction Markets†
复制标题
DOI：
--
复制
发表时间：
1997
期刊：
影响因子：
--
通讯作者：
D. Cliff;J. Bruten
中科院分区：
文献类型：
--
作者：
D. Cliff;J. Bruten
Gode和Sunder（1993）使用“零智力”（ZI）交易者在结构化市场中随机行动的结果似乎暗示，在连续双向拍卖市场中，向理论均衡价格的收敛更多地取决于市场结构，而不是该市场中交易者的智力。然而，它表明，在这里，ZI交易者的平均交易价格可以从理论均衡值显着变化时，市场供给和需求是不对称的，从均衡的差异程度是可以预测的先验概率分析。在这个意义上说，它在这里表明，高德和Sunder的结果是他们的实验制度的文物。在此之后，“零智力加”（ZIP）交易者被引入：像ZI交易者一样，这些简单的代理人进行随机出价。与ZI交易员不同，他们使用的是机器学习的基本形式。ZIP交易者在类似于Smith（1962）和Gode and Sunder（1993）所使用的实验市场中进行交互，我们发现ZIP交易者的表现比Gode and Sunder的ZI交易者的表现更接近人类数据。由于ZI交易者过于简单，我们提供ZIP交易者作为在连续双向拍卖市场中实现均衡所需的智力的略微向上修订。
agent continuous double auction, trade Gode and Sunder's (1993) results from using "zero-intelligence" (ZI) traders, that act randomly within a structured market, appear to imply that convergence to the theoretical equilibrium price in continuous double-auction markets is determined more by market structure than by the intelligence of the traders in that market. However, it is demonstrated here that the average transaction prices of ZI traders can vary significantly from the theoretical equilibrium value when the market supply and demand are asymmetric, and that the degree of difference from equilibrium is predictable from a priori probabilistic analysis. In this sense, it is shown here that Gode and Sunder's results are artefacts of their experimental regime. Following this, 'zero-intelligence-plus' (ZIP) traders are introduced: like ZI traders, these simple agents make stochastic bids. Unlike ZI traders, they employ an elementary form of machine learning. Groups of ZIP traders interacting in experimental markets similar to those used by Smith (1962) and Gode and Sunder (1993) are demonstrated, and we show that the performance of ZIP traders is significantly closer to the human data than is the performance of Gode and Sunder's ZI traders. Because ZI traders are too simple, we offer ZIP traders as a slight upward revision of the intelligence required to achieve equilibrium in continuous double auction markets.