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Order aggressiveness and the diagonal effect in experimental double auction markets

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  • Majois, Christophe

Abstract

This paper analyzes the behavior of players in experimental double auction markets. We show that the "diagonal effect", a well-known phenomenon observed in real markets, also shows up in experimental markets and is mainly due to order splitting.

Suggested Citation

  • Majois, Christophe, 2010. "Order aggressiveness and the diagonal effect in experimental double auction markets," Economics Letters, Elsevier, vol. 107(2), pages 304-309, May.
    • Handle: RePEc:eee:ecolet:v:107:y:2010:i:2:p:304-309
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    References listed on IDEAS

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