The Double Auction Market: Institutions, Theories, and Evidence

ISBN-13: 9780367320508 / Angielski / Twarda / 2019 / 456 str.

Daniel Friedman;John Rust

Opis

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.

Spis treści

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

O autorze

Daniel Friedman