Call Market Experiments: Efficiency and Price Discovery through Multiple Calls and Emergent Newton Adjustments
نویسندگان
چکیده
We study multiple-unit, laboratory experimental call markets in which orders are cleared by a single price at a scheduled “call.” The markets are independent trading “days” with two calls each day preceded by a continuous and public order flow. Markets approach the competitive equilibrium over time. The price formation dynamics operate through the flow of bids and asks configured as the “jaws” of the order book with contract execution featuring elements of an underlying mathematical principle, the Newton-Raphson method for solving systems of equations. Both excess demand and its slope play a systematic role in call market price discovery. (JEL C92, D41, D44, G14)
منابع مشابه
Animal choruses emerge from receiver psychology
Synchrony and alternation in large animal choruses are often viewed as adaptations by which cooperating males increase their attractiveness to females or evade predators. Alternatively, these seemingly composed productions may simply emerge by default from the receiver psychology of mate choice. This second, emergent property hypothesis has been inferred from findings that females in various ac...
متن کاملEconomic Efficiency of Smallholder in Iran: Adjusted for Market Distortion
To measure an unbiased farm-specific efficiency of individual dairy farmers, a shadow-price profit frontier adjusted for market distortion was applied to a sample of 860 Iranian small intensive dairy farms surveyed in 2005-2006. This measure was then compared with that of unadjusted measure that assumes undistorted market. A multiple general linear model (GLM) technique was applied to the data ...
متن کاملThought Experiments in Scientific Discovery: What Emergent Mental Capabilities Underlie their Efficacy?
Examples from Archimedes, Galileo, Newton, Einstein and others suggest that fundamental laws of physics were—or, at least, could have been—discovered by experiments performed not in the physical world but only in the mind. Though problematic for a strict empiricist, this mode of discovery may have become possible, in part, through the evolutionary emergence in humans of deeply internalized impl...
متن کاملMarket efficiency and accounting research : a discussion of ‘ capital market research in accounting ’ by S .
Much of capital market research in accounting over the past 20 years has assumed that the price adjustment process to information is instantaneous and/or trivial. This assumption has had an enormous influence on the way we select research topics, design empirical tests, and interpret research findings. In this discussion, I argue that price discovery is a complex process, deserving of more atte...
متن کاملMarket efficiency and accounting research : a discussion of ‘ capital market research in accounting ’ by
Much of capital market research in accounting over the past 20 years has assumed that the price adjustment process to information is instantaneous and/or trivial. This assumption has had an enormous influence on the way we select research topics, design empirical tests, and interpret research findings. In this discussion, I argue that price discovery is a complex process, deserving of more atte...
متن کامل