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The role of information in a continuous double auction: An experiment and learning model

Anufriev, Mikhail and Arifovic, Jasmina and Ledyard, John and Panchenko, Valentyn (2022) The role of information in a continuous double auction: An experiment and learning model. Journal of Economic Dynamics and Control, 141 . Art. No. 104387. ISSN 0165-1889. doi:10.1016/j.jedc.2022.104387.

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We analyze trading in a modified continuous double auction market. We study how more or less information about trading in a prior round affects allocative and informational efficiency. We find that more information reduces allocative efficiency in early rounds relative to less information but that the difference disappears in later rounds. Informational efficiency is not affected by the information differences. We complement the experiment with simulations of the Individual Evolutionary Learning model which, after modifications to account for the CDA, seems to fit the data reasonably well.

Item Type:Article
Related URLs:
URLURL TypeDescription
Anufriev, Mikhail0000-0002-1842-6814
Arifovic, Jasmina0000-0002-7092-6541
Panchenko, Valentyn0000-0003-3144-7502
Additional Information:© 2022 Elsevier. Available online 14 April 2022, Version of Record 26 July 2022. We thank the organizers and participants of the 2021 Conference on Markets and Economies with Information Frictions, and especially the discussant, Te Bao, for many suggestions that helped to improve the paper. We also thank participants of the ESA meeting in Tucson, and the seminar at Simon Fraser University for their comments on the earliest results of this research. We are grateful to Michiel van de Leur for providing research assistance during the earlier stages of this research. Mikhail Anufriev acknowledges financial support from the Australian Research Council through Discovery Project DP200101438.
Funding AgencyGrant Number
Australian Research CouncilDP200101438
Subject Keywords:Continuous double auction; Experiments; Individual evolutionary learning
Classification Code:JEL: D83; C63; D44
Record Number:CaltechAUTHORS:20220511-150585300
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Official Citation:Mikhail Anufriev, Jasmina Arifovic, John Ledyard, Valentyn Panchenko, The role of information in a continuous double auction: An experiment and learning model, Journal of Economic Dynamics and Control, Volume 141, 2022, 104387, ISSN 0165-1889,
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:114683
Deposited By: Tony Diaz
Deposited On:11 May 2022 21:04
Last Modified:15 Aug 2022 22:31

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