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Book Cover
E-book
Author Friedman, Daniel

Title The Double Auction Market : Institutions, Theories, and Evidence
Published Boulder : Routledge, 2018

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Description 1 online resource (456 pages)
Series Santa Fe Institute
Santa Fe Institute
Contents Cover; Half Title; Title Page; Copyright Page; About the Santa Fe Institute; Santa Fe Institute Editorial Board June 1991; Santa Fe Institute Studies in the Sciences of Complexity; Contributors to This Volume; Table of Contents; Preface; Section I. Institutions; 1. The Double Auction Market Institution: A Survey; 2. Automating the Continuous Double Auction in Practice: Automated Trade Execution Systems in Financial Markets; Section II. Theories; 3. Theories of Price Formation and Exchange in Double Oral Auctions; 4. The Bayesian Theory of the k-Double Auction
5. Design of Efficient Trading ProceduresSection III. Evidence; 6. Behavior of Trading Automata in a Computerized Double Auction Market; 7. Lower Bounds for Efficiency of Surplus Extraction in Double Auctions; 8. Some Effects of Restricting the Electronic Order Book in an Automated Trade Execution System; 9. An Empirical Analysis of Price Formation in Double Auction Markets; 10. Buyer's Bid Double Auctions: Preliminary Experimental Results; 11. Designing a Uniform-Price Double Auction: An Experimental Evaluation
12. On the Anatomy of the "Nonfacilitating" Features of the Double Auction Institution in Conspiratorial Markets13. Convergence in Experimental Double Auctions for Stochastically Lived Assets; 14. Liquidity and Persistence of Arbitrage in Experimental Options Markets; Index
Summary This collection of papers focuses on markets organized as double auctions (DA) In a double auction, both buyers and sellers can actively present bids (offers to buy) and asks (offers to sell) for standardized units of well-defined commodities and securities. A classic example of a DA market (known by practitioners as an open outcry market) is the commodity trading pit at the Chicago Board of Trade. A related process is a call market, which is used to determine opening prices on the New York Stock Exchange. Already the predominant trading institution for financial and commodities markets, the double auction has many variants and is evolving rapidly in the present era of advancing computer technology and regulatory reform. DA markets are of theoretical as well as practical interest in view of the central role these institutions play in allocating resources. Although the DA has been studied intensively in the labouratory, and practitioners have considerable experience in the field, only recently have tools started to become available to provide the underpinning of a behavioural theory of DA markets
Bibliography Includes bibliographical references and index
Notes Print version record
Subject Commodity exchanges-Data processing-Congresses
Program trading (Securities)-Congresses
Securities industry-Data processing-Congresses
Stock exchanges-Data processing-Congresses
POLITICAL SCIENCE -- Political Freedom & Security -- Civil Rights.
POLITICAL SCIENCE -- Political Freedom & Security -- Human Rights.
Form Electronic book
Author Rust, John
ISBN 9780429961083
0429961081
9780429972164
0429972164
9780429983245
0429983247
9780429492532
0429492537