An Empirical Analysis of Price Formation in Double Auction Markets PDF Download
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Author: Timothy N. Cason
Publisher:
ISBN:
Category : Auctions
Languages : en
Pages : 54
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Book Description
Author: Timothy N. Cason
Publisher:
ISBN:
Category : Auctions
Languages : en
Pages : 54
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Book Description
Author: Daniel Friedman
Publisher: Routledge
ISBN: 0429961081
Category : Social Science
Languages : en
Pages : 456
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Book Description
This book focuses on markets organized as double auctions in which both buyers and sellers can submit bids and asks for standardized units of well-defined commodities and securities. It examines evidence from the laboratory and computer simulations.
Author: Steven Gjerstad
Publisher:
ISBN:
Category : Auctions
Languages : en
Pages : 156
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Book Description
Author: Steven Gjerstad
Publisher:
ISBN:
Category : Auctions
Languages : en
Pages : 29
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Book Description
Abstract: "We develop a model of information processing and strategy choice for participants in a double auction. Sellers in this model form beliefs that an offer will be accepted by some buyer. Similarly, buyers form beliefs that a bid will be accepted. These beliefs are formed on the basis of observed market data, including frequencies of asks, bids, accepted asks, and accepted bids. Then traders choose an action that maximizes their own expected surplus. The trading activity resulting from these beliefs and strategies is sufficient to achieve trasaction prices at competitive equilibrium and complete market efficiency after several periods of trading."
Author: Abdolkarim Sadrieh
Publisher: Springer Science & Business Media
ISBN: 9783540648956
Category : Business & Economics
Languages : en
Pages : 364
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Book Description
The alternating double auction market institution is presented as a discrete time version of the open outcry market. The game in extensive form is analyzed in an almost perfect information setting, using the concept of subgame perfectness. By applying two new equilibrium selection criteria, a general existence result is obtained for "impatience equilibria" of the game. All such equilibria are shown to have unique properties concerning the traded quantities and prices. The most important results are that the equilibrium prices are independent of the number of traders and are always very close to - if not inside - the range of competitive prices. The latter can be evaluated as game theoretic support for the convergence of prices to the competitive price. The process of price formation is traced by applying the learning direction theory and introducing the "anchor price hypothesis".
Author: Ali Hortaçsu
Publisher:
ISBN:
Category :
Languages : en
Pages : 390
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Book Description
Author: Daniel Friedman
Publisher:
ISBN:
Category : Auctions
Languages : en
Pages : 128
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Book Description
Author: Drew Fudenberg
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Daniel Friedman
Publisher: Westview Press
ISBN: 9780201624595
Category : Science
Languages : en
Pages : 464
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Book Description
This collection of papers focuses on markets organized as double auctions (DA). In a double auction, both buyers and sellers can actively present bids (offers to buy) and asks (offers to sell) for standardized units of well-defined commodities and securities. A classic example of a DA market (known by practitioners as an open outcry market) is the commodity trading pit at the Chicago Board of Trade. A related process is a call market, which is used to determine opening prices on the New York Stock Exchange. Already the predominant trading institution for financial and commodities markets, the double auction has many variants and is evolving rapidly in the present era of advancing computer technology and regulatory reform. DA markets are of theoretical as well as practical interest in view of the central role these institutions play in allocating resources. Although the DA has been studied intensively in the laboratory, and practitioners have considerable experience in the field, only recently have tools started to become available to provide the underpinning of a behavioral theory of DA markets.
Author: Giulia Iori
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
We introduce an order-driven market model with heterogeneous agents trading via a central order matching mechanism. Traders set bids and asks and post market or limit orders according to exogenously fixed rules. We investigate how different trading strategies may affect the dynamics of price, bid-ask spreads, trading volume and volatility. We also analyse how some features of market design, such as tick size and order lifetime, affect market liquidity. The model is able to reproduce many of the complex phenomena observed in real stock markets.
