Double auction dynamics: structural effects of non-binding price controls
In competitive equilibrium, non-binding price controls (that is, price floors below and ceilings above the equilibrium) should not affect market outcomes, but in laboratory experiments they do. We build a simple dynamic model of double auction markets with "zero-intelligence" (ZI) computer traders that accounts for many, though not all, of the discrepancies between the data and the Walrasian tatonnement predictions. Success of the model in organizing the data, and decomposing various consequences of price controls, shows that the simple ZI model is a powerful tool to gain insights into the dynamics of market institutions.
(This abstract was borrowed from another version of this item.)
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Cason, Timothy N. & Friedman, Daniel, 1996.
"Price formation in double auction markets,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 20(8), pages 1307-1337, August.
- Sunder, S., 1992. "Lower Bounds for Efficiency of Surplus Extraction in Double Auctions," GSIA Working Papers 1992-17, Carnegie Mellon University, Tepper School of Business.
- Jamal, Karim & Sunder, Shyam, 1996. "Bayesian equilibrium in double auctions populated by biased heuristic traders," Journal of Economic Behavior & Organization, Elsevier, vol. 31(2), pages 273-291, November.
- Isaac, R. Mark & Plott, Charles R., .
"Price Controls and the Behavior of Auction Markets: An Experimental Examination,"
253, California Institute of Technology, Division of the Humanities and Social Sciences.
- Isaac, R Mark & Plott, Charles R, 1981. "Price Controls and the Behavior of Auction Markets: An Experimental Examination," American Economic Review, American Economic Association, vol. 71(3), pages 448-59, June.
- Luo Guo Ying, 1995. "Evolution and Market Competition," Journal of Economic Theory, Elsevier, vol. 67(1), pages 223-250, October.
- Ramon Marimon & Stephen E. Spear & Shyam Sunder, 1993.
"Expectationally-driven market volatility: An experimental study,"
Economics Working Papers
21, Department of Economics and Business, Universitat Pompeu Fabra.
- Marimon Ramon & Spear Stephen E. & Sunder Shyam, 1993. "Expectationally Driven Market Volatility: An Experimental Study," Journal of Economic Theory, Elsevier, vol. 61(1), pages 74-103, October.
- Marimon, R. & Spear, S. & Sunder, S., 1991. "Expectationally-Driven Market Volatility: An Experimental Study," GSIA Working Papers 1991-3, Carnegie Mellon University, Tepper School of Business.
- Ramon Marimon & Stephen E. Spear & Shyam Sunder, 1992. "Expectationally-driven market volatility: an experimental study," Discussion Paper / Institute for Empirical Macroeconomics 73, Federal Reserve Bank of Minneapolis.
- Coursey, Don L & Smith, Vernon L, 1983. "Price Controls in a Posted Offer Market," American Economic Review, American Economic Association, vol. 73(1), pages 218-21, March.
- Shinichi Hirota & Shyam Sunder, 2002.
"Stock Market as a 'Beauty Contest': Investor Beliefs and Price Bubbles sans Dividend Anchors,"
Yale School of Management Working Papers
ysm2, Yale School of Management.
- Shinichi Hirota & Shyam NMI Sunder, 2002. "Stock Market as a 'Beauty Contest': Investor Beliefs and Price Bubbles sans Dividend Anchors," Yale School of Management Working Papers ysm271, Yale School of Management.
- Herbert A. Simon, 1996. "The Sciences of the Artificial, 3rd Edition," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262691914, March.
- 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, vol. 101(1), pages 119-37, February.
- Mirowski,Philip, 2002. "Machine Dreams," Cambridge Books, Cambridge University Press, number 9780521772839, November.
- Dhananjay K. Gode & Shyam Sunder, 1997. "What Makes Markets Allocationally Efficient?," The Quarterly Journal of Economics, Oxford University Press, vol. 112(2), pages 603-630.
- Mirowski,Philip, 2002. "Machine Dreams," Cambridge Books, Cambridge University Press, number 9780521775267, November.
- Smith, Vernon L & Williams, Arlington W, 1981. "On Nonbinding Price Controls in a Competitive Market," American Economic Review, American Economic Association, vol. 71(3), pages 467-74, June.
- Shyam Sunder & MODELS A, 2002. "Markets as Artifacts: Aggregate Efficiency from Zero-Intelligence Traders," Yale School of Management Working Papers ysm284, Yale School of Management, revised 01 Sep 2004.
- Evans, Dorla A, 1997. "The Role of Markets in Reducing Expected Utility Violations," Journal of Political Economy, University of Chicago Press, vol. 105(3), pages 622-36, June.
- Timothy N. Cason & Daniel Friedman, 1997. "Price Formation in Single Call Markets," Econometrica, Econometric Society, vol. 65(2), pages 311-346, March.
- Hardle, Wolfgang & Kirman, Alan, 1995. "Nonclassical demand : A model-free examination of price-quantity relations in the Marseille fish market," Journal of Econometrics, Elsevier, vol. 67(1), pages 227-257, May.
When requesting a correction, please mention this item's handle: RePEc:eee:dyncon:v:28:y:2004:i:9:p:1707-1731. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.