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Double Auction Markets with Stochastic Supply and Demand Schedules: Call Markets and Continuous Auction Trading Mechanisms

In: Advances in Understanding Strategic Behaviour

Author

Listed:
  • John H. Kagel

Abstract

Performance under two different double auction trading mechanisms is investigated: a call market and a continuous double auction trading mechanism. Both auctions are two-sided, with several buyers and several sellers. A call market is a discrete trading mechanism in which buyers (sellers) submit a single bid (offer) in each trading period and the market clears according to well-defined rules of who trades and at what prices. In a continuous double auction, trades can occur at any time in the trading period, with buyers and sellers free to update unaccepted bids and offers continuously. Both trading mechanisms have wide applications in field settings, and have also been the subject of intense experimental study (see Holt, 1995, for a survey of experimental work).

Suggested Citation

  • John H. Kagel, 2004. "Double Auction Markets with Stochastic Supply and Demand Schedules: Call Markets and Continuous Auction Trading Mechanisms," Palgrave Macmillan Books, in: Steffen Huck (ed.), Advances in Understanding Strategic Behaviour, chapter 9, pages 181-208, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-0-230-52337-1_9
    DOI: 10.1057/9780230523371_9
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    Cited by:

    1. M. Levati & Jianying Qiu & Prashanth Mahagaonkar, 2012. "Testing the Modigliani-Miller theorem directly in the lab," Experimental Economics, Springer;Economic Science Association, vol. 15(4), pages 693-716, December.
    2. Nana Adrian & Ann-Kathrin Crede & Jonas Gehrlein, 2019. "Market Interaction and the Focus on Consequences in Moral Decision Making," Diskussionsschriften dp1905, Universitaet Bern, Departement Volkswirtschaft.
    3. Douglas Davis & Oleg Korenok & Edward Simpson Prescott, 2014. "An Experimental Analysis of Contingent Capital with Market‐Price Triggers," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(5), pages 999-1033, August.
    4. Douglas Davis & Oleg Korenok & Edward Simpson Prescott, 2011. "An experimental analysis of contingent capital triggering mechanisms," Working Paper 11-01, Federal Reserve Bank of Richmond.
    5. Jacob K. Goeree & Jingjing Zhang, 2012. "Inefficient markets," ECON - Working Papers 072, Department of Economics - University of Zurich.

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