LiCalzi, Marco Li Calzi; Milone, Lucia; Pellizzari, Paolo - Dipartimento di Matematica Applicata, Università Ca' … - 2008
This paper studies the continuous double auction from the point of view of market engineering: we tweak a resampling rule often used for this exchange protocol and search for an improved design. We assume zero intelligence trading as a lower bound for more robust behavioral rules and look at...