Price Formation in Double Auctions

Price Formation in Double Auctions
Author: Steven Gjerstad
Publisher:
Total Pages: 29
Release: 2000
Genre: Auctions
ISBN:

Abstract: "We develop a model of information processing and strategy choice for participants in a double auction. Sellers in this model form beliefs that an offer will be accepted by some buyer. Similarly, buyers form beliefs that a bid will be accepted. These beliefs are formed on the basis of observed market data, including frequencies of asks, bids, accepted asks, and accepted bids. Then traders choose an action that maximizes their own expected surplus. The trading activity resulting from these beliefs and strategies is sufficient to achieve trasaction prices at competitive equilibrium and complete market efficiency after several periods of trading."

The Double Auction Market

The Double Auction Market
Author: Daniel Friedman
Publisher: Routledge
Total Pages: 426
Release: 2018-05-04
Genre: Social Science
ISBN: 0429972164

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.

The Alternating Double Auction Market

The Alternating Double Auction Market
Author: Abdolkarim Sadrieh
Publisher: Springer Science & Business Media
Total Pages: 359
Release: 2012-12-06
Genre: Business & Economics
ISBN: 3642589537

The alternating double auction market institution is presented as a discrete time version of the open outcry market. The game in extensive form is analyzed in an almost perfect information setting, using the concept of subgame perfectness. By applying two new equilibrium selection criteria, a general existence result is obtained for "impatience equilibria" of the game. All such equilibria are shown to have unique properties concerning the traded quantities and prices. The most important results are that the equilibrium prices are independent of the number of traders and are always very close to - if not inside - the range of competitive prices. The latter can be evaluated as game theoretic support for the convergence of prices to the competitive price. The process of price formation is traced by applying the learning direction theory and introducing the "anchor price hypothesis".

E-Commerce Agents

E-Commerce Agents
Author: Jimingx Liu
Publisher: Springer Science & Business Media
Total Pages: 383
Release: 2001-04-18
Genre: Business & Economics
ISBN: 3540419349

Among the many changes brought by the Internet is the emergence of electronic commerce over the Web. E-commerce activities, such as the online exchange of information, services, and products, are opening up completely new opportunities for business, at new levels of productivity and profitability. In parallel with the emergence of e-commerce, intelligent software agents as entities capable of independent action in open, unpredictable environments have matured into a promising new technology. Quite naturally, e-commerce agents hold great promise for exploiting the Internet's full potential as an electronic marketplace. The 20 coherently written chapters in this book by leading researchers and professionals present the state of the art in agent-mediated e-commerce. Researchers, professionals, and advanced students interested in e-commerce or agent technology will find this book an indispensable source of information and reference.

On Market Prices in Double Auctions

On Market Prices in Double Auctions
Author: Simon Jantschgi
Publisher:
Total Pages: 14
Release: 2022
Genre: Auctions
ISBN:

We address some open issues regarding the characterization of double auctions. Our model is a two-sided commodity market with either finitely or infinitely many traders. We first unify existing formulations for both finite and infinite markets and generalize the characterization of market clearing in the presence of ties. Second, we define a mechanism that achieves market clearing in any, finite or infinite, market instance and show that it coincides with the k-double auction by Rustichini et al. (1994) in the former case. In particular, it clarifies the consequences of ties in submissions and makes common regularity assumptions obsolete. Finally, we show that the resulting generalized mechanism implements Walrasian competitive equilibrium.

The Double Auction Market

The Double Auction Market
Author: Daniel Friedman
Publisher: Westview Press
Total Pages: 464
Release: 1993-03-21
Genre: Science
ISBN: 9780201624595

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.

Auctions

Auctions
Author: Paul Klemperer
Publisher: Princeton University Press
Total Pages: 263
Release: 2018-06-05
Genre: Business & Economics
ISBN: 0691186294

Governments use them to sell everything from oilfields to pollution permits, and to privatize companies; consumers rely on them to buy baseball tickets and hotel rooms, and economic theorists employ them to explain booms and busts. Auctions make up many of the world's most important markets; and this book describes how auction theory has also become an invaluable tool for understanding economics. Auctions: Theory and Practice provides a non-technical introduction to auction theory, and emphasises its practical application. Although there are many extremely successful auction markets, there have also been some notable fiascos, and Klemperer provides many examples. He discusses the successes and failures of the one-hundred-billion dollar "third-generation" mobile-phone license auctions; he, jointly with Ken Binmore, designed the first of these. Klemperer also demonstrates the surprising power of auction theory to explain seemingly unconnected issues such as the intensity of different forms of industrial competition, the costs of litigation, and even stock trading 'frenzies' and financial crashes. Engagingly written, the book makes the subject exciting not only to economics students but to anyone interested in auctions and their role in economics.