Order aggressiveness and the diagonal effect in experimental double auction markets
AbstractThis 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 107 (2010)
Issue (Month): 2 (May)
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Web page: http://www.elsevier.com/locate/ecolet
Diagonal effect Experimental markets Traders' behavior Order splitting;
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