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Competitive market behavior: a large-scale replication and robustness check of the experimental continuous double auction a la V Smith '62
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Description: Controlled laboratory and online experiments in economics have confirmed that the continuous double auction for nondurables rapidly approximates competitive equilibrium under private information. Interestingly, this convergence regularly occurs asymmetrically through rising prices. Here, we stress-test this finding by varying various fundamental constituents of the market institution (regarding price rule, market asymmetry, and equilibrium structure) with particular focus on the role of order-book feedback, that is, which parts of the order book (i.e., bids, asks, realized prices) are available to market participants. We provide an empirical foundation for convergence with asymmetries, even in markets that are markedly set up against it, that is, in terms of equilibrium structure and lack of feedback.
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