紹介
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.
目次
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. Part 2 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. Part 3 evidence: behaviour 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 O'Brien and Sanjay Srivastava.
