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Experiments on Electronic Double Auctions and Abnormal Trades


  • Lucy F. Ackert

    () (Department of Economics and Finance, Michael J. Coles College of Business, Kennesaw State University,1000 Chastain Road, Kennesaw, GA 30144, USA)

  • Lei Jiang

    () (School of Economics and Management, Tsinghua University, Room 328, Weilun Building, Tsinghua, Haidian District, Beijing, 100084, China)

  • Li Qi

    () (Department of Economics, Agnes Scott College, 141 E. College Avenue, Decatur, GA 30030)


The flash crash experienced by U.S. markets in May 2010 provided stark evidence that a large trade can have a powerful influence. We explore the impact of an unusual trade on behavior inexperimental bubbles markets. We chose the experimental design proposed by Smith, Suchanek, and Williams (1988) because replication shows it produces markets prone to mispricing. After several rounds of trading, our markets receive a large quantity order at an extreme price. In a standard double auction bubble market, pricing is unaffected by an abnormal order. However, with increased uncertainty about the underlying economic value of the asset, over-pricing weakens on arrival of a negative price shock.

Suggested Citation

  • Lucy F. Ackert & Lei Jiang & Li Qi, 2016. "Experiments on Electronic Double Auctions and Abnormal Trades," Southern Economic Journal, Southern Economic Association, vol. 83(1), pages 87-104, July.
  • Handle: RePEc:sej:ancoec:v:83:1:y:2016:p:87-104
    DOI: 10.1002/soej.12124

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    JEL classification:

    • C92 - Mathematical and Quantitative Methods - - Design of Experiments - - - Laboratory, Group Behavior
    • G1 - Financial Economics - - General Financial Markets


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