COMPETITIVE MARKET BEHAVIOR: CONVERGENCE AND ASYMMETRY IN THE EXPERIMENTAL DOUBLE AUCTION

• 成果类型: Article
• 署名作者: Ikica, Barbara; Jantschgi, Simon; Nax, Heinrich H.; Duran, Diego G. Nunez; Pradelski, Bary S. R.
• 署名单位: University of Zurich; Swiss Federal Institutes of Technology Domain; ETH Zurich; Centre National de la Recherche Scientifique (CNRS); Communaute Universite Grenoble Alpes; Universite Grenoble Alpes (UGA)
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12630
• 发表日期: 2023
• 页码: 1087-1126
• 关键词: zero-intelligence; POWER

摘要

We conducted a large number of controlled continuous double auction experiments to reproduce and stress-test the phenomenon of convergence to competitive equilibrium under private information with decentralized trading feedback. Our main finding is that across a total of 104 markets (involving over 1,700 subjects), convergence occurs after a handful of trading periods. Initially, however, there is an inherent asymmetry that favors buyers, typically resulting in prices below equilibrium levels. Analysis of over 80,000 observations of individual bids and asks helps identify empirical ingredients contributing to the observed phenomena including higher levels of aggressiveness initially among buyers than sellers.