The allocative effectiveness of market protocols under intelligent trading

We study the performance of four market protocols that lead to allocative efficiency: batch auction, continuous double auction, specialist dealership, and a hybrid of these last two. In a former study, we compared them with respect to several additional performance criteria under the assumption of zero intelligence. This paper analyzes three performance criteria under different ways to remove the assumption of zero intelligence. The following conclusions are robust. The number of wasteful transaction is minimized by the batch auction and the dealership. Moreover, the former minimizes price dispersion and the latter minimizes time to convergence.