The double auction market : institutions, theories, and evidence
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Bibliographic Information
The double auction market : institutions, theories, and evidence
（Proceedings volume in the Santa Fe Institute studies in the sciences of complexity, v. 14）
Addison-Wesley Pub. Co., c1993
- : hbk
- : pbk
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Note
"Proceedings of the Workshop on Double Auction Markets, held June, 1991 in Santa Fe, New Mexico."
Includes bibliographical references and index
Description and Table of Contents
- Volume
-
: hbk ISBN 9780201622638
Description
}This book is a collection of papers focused 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 intense 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. }
Table of Contents
- Institutions
- The Double Auction Market Institution: A Survey (Dan Friedman)
- Automating the Continuous Double Auction in Practice: Automated Trade Execution Systems in Financial Markets (Ian Domowitz)
- Theories
- Theories of Price Formation and Exchange in Double Oral Auctions (David Easley and John Ledyard)
- The Bayesian Theory of the k-Double Auction (Mark Satterthwaite and Steven Williams)
- Design of Efficient Trading Procedures (Robert Wilson)
- Evidence
- Behavior of Trading Automata in a Computerized Double Auction Market (John Rust, John Miller and Richard Palmer)
- Lower Bounds for Efficiency of Surplus Extraction in Double Auctions (Dhananjay Gode and Shyam Sunder)
- Some Effects of Restricting the Electronic Order Book in an Automated Trade Execution System (Tim Bollerslev and Ian Domowitz)
- An Empirical Analysis of Price Formation in Double Auction Markets (Tim Cason and Daniel Friedman)
- Buyers Bid Double Auctions: Preliminary Experimental Results (John Kagel and William Vogt)
- Designing a Uniform-Price Double Auction: An Experimental Evaluation (Kevin McCabe, Stephen Rassenti, and Vernon Smith)
- On the Anatomy of the Nonfacilitating Features of the Double Auction Institution in Conspiratorial Markets (Laura Clauser and Charles Plott)
- Convergence in Experimental Double Auctions for Stochastically Lived Assets (Colin Camerer and Keith Weigelt)
- Liquidity and Persistence of Arbitrage in Experimental Options Markets (John OBrien and Sanjay Srivastava).
- Volume
-
: pbk ISBN 9780201624595
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.
Table of Contents
About the Santa Fe Institute -- Santa Fe Institute Editorial Board June 1991 -- Santa Fe Institute Studies in the Sciences of Complexity -- Preface -- Institutions -- The Double Auction Market Institution: A Survey -- Automating the Continuous Double Auction in Practice: Automated Trade Execution Systems in Financial Markets -- Theories -- Theories of Price Formation and Exchange in Double Oral Auctions -- The Bayesian Theory of the k-Double Auction -- Design of Efficient Trading Procedures -- Behavior of Trading Automata in a Computerized Double Auction Market -- Lower Bounds for Efficiency of Surplus Extraction in Double Auctions -- Some Effects of Restricting the Electronic Order Book in an Automated Trade Execution System -- An Empirical Analysis of Price Formation in Double Auction Markets -- Buyer's Bid Double Auctions: Preliminary Experimental Results -- Designing a Uniform-Price Double Auction: An Experimental Evaluation -- On The Anatomy of the "Nonfacilitating" Features of the Double Auction Institution in Conspiratorial Markets -- Convergence in Experimental Double Auctions for Stochastically Lived Assets -- Liquidity and Persistence of Arbitrage in Experimental Options Markets
by "Nielsen BookData"