K-ZI: a general zero-intelligence model in continuous double auction

摘要

Replacing human traders by "zero-intelligence" (ZI) programs that submit random bids and offers in their experiments, Gode and Sunder conclude that the primary cause of high allocation efficiency and the convergence to theoretical equilibrium price in a continuous double auction market are the market discipline rather than the intelligence of traders. In this paper, we study the influence of ZI traders' expected profit margin on the continuous double auction markets. For this purpose, we develop a general zero-intelligence model that is called "k-ZI" where k ∈ [0, 1]. When k = 0, a k-ZI trader becomes a ZI with constraint (ZI-C) trader; when k = 1, a k-ZI trader becomes a truth-telling trader. The parameter "k" determines the expected profit margin of k-ZI traders. By the experiments conducted, we investigate its influence on the continuous double auction market, such as on the allocation efficiency, the trade ratio and the average trade price. The interesting finding is that parameter "k" affects the allocation efficiency and the trader ratio in continuous double auction markets. In order to interpret experimental results economically, the anti-Marshallian paths of double auction markets are provided.