Call Market Experiments: Efficiency and Price Discovery through Multiple Calls and Emergent Newton Adjustments

• 成果类型: Article
• 署名作者: Plott, Charles R.; Pogorelskiy, Kirill
• 署名单位: California Institute of Technology; University of Warwick
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MICROECONOMICS
• ISSN/ISSBN: 1945-7669
• DOI: 10.1257/mic.20150201
• 发表日期: 2017
• 页码: 1-41
• 关键词: auction markets; institutions; mechanisms

摘要

We study multiple-unit, laboratory experimental call markets in which orders are cleared by a single price at a scheduled call. The markets are independent trading days with two calls each day preceded by a continuous and public order flow. Markets approach the competitive equilibrium over time. The price formation dynamics operate through the flow of bids and asks configured as the jaws of the order book with contract execution featuring elements of an underlying mathematical principle, the Newton-Raphson method for solving systems of equations. Both excess demand and its slope play a systematic role in call market price discovery.