The Library
Call market experiments : efficiency and price discovery through multiple calls and emergent newton adjustments
Tools
Plott, Charles R. and Pogorelskiy, Kirill (2017) Call market experiments : efficiency and price discovery through multiple calls and emergent newton adjustments. American Economic Journal : Microeconomics, 9 (4). pp. 1-41. doi:10.1257/mic.20150201 ISSN 1945-7669.
|
PDF
WRAP-call-market-experiments-Pogorelskiy-2016.pdf - Accepted Version - Requires a PDF viewer. Download (913Kb) | Preview |
|
PDF (Policy update)
84210_SHERPA_RoMEO - Search - Publisher copyright policies & self-archiving.pdf - Other Embargoed item. Restricted access to Repository staff only - Requires a PDF viewer. Download (130Kb) |
Official URL: https://doi.org/10.1257/mic.20150201
Abstract
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 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.
Item Type: | Journal Article | ||||||
---|---|---|---|---|---|---|---|
Divisions: | Faculty of Social Sciences > Economics | ||||||
Journal or Publication Title: | American Economic Journal : Microeconomics | ||||||
Publisher: | American Economic Association | ||||||
ISSN: | 1945-7669 | ||||||
Official Date: | 1 November 2017 | ||||||
Dates: |
|
||||||
Volume: | 9 | ||||||
Number: | 4 | ||||||
Page Range: | pp. 1-41 | ||||||
DOI: | 10.1257/mic.20150201 | ||||||
Status: | Peer Reviewed | ||||||
Publication Status: | Published | ||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||
Date of first compliant deposit: | 29 November 2016 | ||||||
Date of first compliant Open Access: | 1 November 2017 | ||||||
Related URLs: |
Request changes or add full text files to a record
Repository staff actions (login required)
View Item |
Downloads
Downloads per month over past year