Order aggressiveness and the diagonal effect in experimental double auction markets
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.
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- Schnitzlein, Charles R, 1996. " Call and Continuous Trading Mechanisms under Asymmetric Information: An Experimental Investigation," Journal of Finance, American Finance Association, vol. 51(2), pages 613-636, June.
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- Ranaldo, Angelo, 2004. "Order aggressiveness in limit order book markets," Journal of Financial Markets, Elsevier, vol. 7(1), pages 53-74, January.
- Urs Fischbacher, 2007. "z-Tree: Zurich toolbox for ready-made economic experiments," Experimental Economics, Springer;Economic Science Association, vol. 10(2), pages 171-178, June.
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