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Bayesian equilibrium in double auctions populated by biased heuristic traders

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  • Jamal, Karim
  • Sunder, Shyam

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economic Behavior & Organization.

Volume (Year): 31 (1996)
Issue (Month): 2 (November)
Pages: 273-291

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Handle: RePEc:eee:jeborg:v:31:y:1996:i:2:p:273-291

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References

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  1. Grether, David M & Plott, Charles R, 1979. "Economic Theory of Choice and the Preference Reversal Phenomenon," American Economic Review, American Economic Association, American Economic Association, vol. 69(4), pages 623-38, September.
  2. Bosch, A. & Sunder, S., 1994. "Tracking the Invisible Hand: Convergence of Double Auctions to Competitive Equilibrium," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business 1994-11, Carnegie Mellon University, Tepper School of Business.
  3. Tversky, Amos & Kahneman, Daniel, 1986. "Rational Choice and the Framing of Decisions," The Journal of Business, University of Chicago Press, vol. 59(4), pages S251-78, October.
  4. Anderson, M.J. & Sunder, S., 1989. "Professional Traders As Intuitive Bayesians," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business 88-89-51, Carnegie Mellon University, Tepper School of Business.
  5. Jamal, K. & Sunder, S., 1988. "Money Vs. Gaming: Effects Of Salient Monetary Payments In Double Oral Auctions," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business 88-89-16, Carnegie Mellon University, Tepper School of Business.
  6. Plott, Charles R, 1982. "Industrial Organization Theory and Experimental Economics," Journal of Economic Literature, American Economic Association, vol. 20(4), pages 1485-1527, December.
  7. Grether, David M, 1980. "Bayes Rule as a Descriptive Model: The Representativeness Heuristic," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 95(3), pages 537-57, November.
  8. Smith, Vernon L, 1982. "Microeconomic Systems as an Experimental Science," American Economic Review, American Economic Association, American Economic Association, vol. 72(5), pages 923-55, December.
  9. Gode, D.K. & Sunder, S., 1995. "What Makes Markets Efficient? A Statistical Approach," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business 1995-10, Carnegie Mellon University, Tepper School of Business.
  10. Coleman, James S, 1986. "Psychological Structure and Social Structure in Economic Models," The Journal of Business, University of Chicago Press, vol. 59(4), pages S365-69, October.
  11. K. J. Cohen & R. M. Cyert & W. R. Dill & A. A. Kuehn & M. H. Miller & T. A. Van Wormer & P. R. Winters, 1960. "The Carnegie Tech Management Game," The Journal of Business, University of Chicago Press, vol. 33, pages 303.
  12. Gode, Dhananjay K & Sunder, Shyam, 1993. "Allocative Efficiency of Markets with Zero-Intelligence Traders: Market as a Partial Substitute for Individual Rationality," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 101(1), pages 119-37, February.
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Cited by:
  1. Abbigail Chiodo & Massimo Guidolin & Michael T. Owyang & Makoto Shimoji, 2003. "Subjective probabilities: psychological evidence and economic applications," Working Papers, Federal Reserve Bank of St. Louis 2003-009, Federal Reserve Bank of St. Louis.
  2. David V. Budescu & Boris Maciejovsky, . "Reasoning and Institutions: Do Markets Facilitate Logical Reasoning in the Wason Selection Task?," Papers on Strategic Interaction, Max Planck Institute of Economics, Strategic Interaction Group 2003-04, Max Planck Institute of Economics, Strategic Interaction Group.
  3. Dhananjay (Dan) K. Gode & Shyam Sunder, 2000. "Double Auction Dynamics: Structural Effects Of Non-Binding Price Controls," Yale School of Management Working Papers, Yale School of Management ysm1, Yale School of Management.
  4. Karim Jamal & Michael Maier & Shyam Sunder, 2012. "Decoupling Markets and Individuals: Rational Expectations Equilibrium Outcomes from Information Dissemination among Boundedly-Rational Traders," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1868, Cowles Foundation for Research in Economics, Yale University.
  5. Micola, Augusto Ruperez & Bunn, Derek W., 2008. "Crossholdings, concentration and information in capacity-constrained sealed bid-offer auctions," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 66(3-4), pages 748-766, June.
  6. Steven Kachelmeier & Kristy Towry, 2005. "The Limitations of Experimental Design: A Case Study Involving Monetary Incentive Effects in Laboratory Markets," Experimental Economics, Springer, Springer, vol. 8(1), pages 21-33, April.
  7. Karim Jamal & Michael Maier & Shyam Sunder, 2012. "Simple Agents, Intelligent Markets," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1868R, Cowles Foundation for Research in Economics, Yale University, revised Aug 2014.
  8. Jamal, Karim & Sunder, Shyam, 2001. "Why do biased heuristics approximate Bayes rule in double auctions?," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 46(4), pages 431-435, December.
  9. Shyam Sunder & MODELS A, 2002. "Markets as Artifacts: Aggregate Efficiency from Zero-Intelligence Traders," Yale School of Management Working Papers, Yale School of Management ysm284, Yale School of Management, revised 01 Sep 2004.
  10. Yeh, Chia-Hsuan, 2008. "The effects of intelligence on price discovery and market efficiency," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 68(3-4), pages 613-625, December.
  11. Ernst Fehr & Jean-Robert Tyran, 2005. "Individual Irrationality and Aggregate Outcomes," Discussion Papers 05-09, University of Copenhagen. Department of Economics.
  12. Andrew Lo & Nicholas Chan & Blake LeBaron & Tomaso Poggio, 1999. "Information Dissemination and Aggregation in Asset Markets with Simple Intelligent Traders," Computing in Economics and Finance 1999, Society for Computational Economics 653, Society for Computational Economics.
  13. Waller, William S. & Shapiro, Brian & Sevcik, Galen, 1999. "Do cost-based pricing biases persist in laboratory markets?," Accounting, Organizations and Society, Elsevier, vol. 24(8), pages 717-739, November.
  14. Lucy F. Ackert & Bryan K. Church & Richard Deaves, 2003. "Emotion and financial markets," Economic Review, Federal Reserve Bank of Atlanta, issue Q2, pages 33-41.
  15. Mayhew, Brian W. & Vitalis, Adam, 2014. "Myopic loss aversion and market experience," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 97(C), pages 113-125.

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