Equilibrium Discovery and Preopening Mechanisms in an Experimental Market

• 成果类型: Article
• 署名作者: Biais, Bruno; Bisiere, Christophe; Pouget, Sebastien
• 署名单位: Universite de Toulouse; Universite Toulouse 1 Capitole; Centre National de la Recherche Scientifique (CNRS); Toulouse School of Economics; Universite de Toulouse; Universite Toulouse 1 Capitole; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Centre National de la Recherche Scientifique (CNRS)
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2013.1787
• 发表日期: 2014
• 页码: 753-769
• 关键词: Cheap talk; experimental markets; equilibrium discovery; preopening period; preplay communication

摘要

We experimentally analyze how to design preopening mechanisms facilitating coordination on high equilibrium liquidity and gains from trade. We allow a call auction to be preceded by a preopening or not, preopening orders to be binding or not, and the opening time to be deterministic or random. When the preopening is nonbinding, traders place manipulative orders, reducing the credibility of preplay communication. Random market opening deters manipulation, but also hinders communication by making it costly. Gains from trade are maximized when preopening orders are binding. This enables some traders to place early limit orders, attracting further liquidity.