Price formation in double auction markets

Article Abstract:

The empirical validity of the three models of the price formation process in continuous double auction markets were examined . Specifically, the 14 DA market sessions were carried out to evaluate the models in a single-unit, random values environment. The zero-intelligence, Bayesian Game Against Nature, Waiting Game/Dutch Auction were assessed for allocation efficiency, transaction order, source of inefficiency, price change autocorrelation, trade surplus distribution, and bid-ask sequences. The results indicate that 'efficiency is high'and increases with experience.

Prices, Auctions

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The dynamics of price dispersion, or Edgeworth variations

Article Abstract:

A study on price dispersion phenomena using computer simulation and theory is presented. Contrary to the equalizing type of dynamics in prices suggested by Edgeworth, the phenomenon does not disappear with buyer and seller eventually settling for one price; instead the price continues to vary.

United States, Netherlands, Analysis, Usage, Computer simulation, Computer-generated environments, Market value

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Buyer search and price dispersion: a laboratory study

Article Abstract:

Price determination in various markets is examined.

Science & research, Commodity & service prices, Models, Prices and rates, Markets (Economics), Equilibrium (Economics), Company pricing policy

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