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The double auction market : institutions, theories, and evidence

Author: Daniel Friedman; John Rust
Publisher: Reading, Mass. : Addison-Wesley Pub. Co., ©1993.
Series: Proceedings volume in the Santa Fe Institute studies in the sciences of complexity, v. 14.
Edition/Format:   Print book : Conference publication : EnglishView all editions and formats
Summary:
"Proceedings of the Workshop on Double Auction Markets, held June, 1991 in Santa Fe, New Mexico." Includes bibliographical references and index.
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Genre/Form: Conference papers and proceedings
Congresses
Additional Physical Format: Online version:
Workshop on Double Auction Markets (1991 : Santa Fe, N.M.).
Double auction market.
Reading, Mass. : Addison-Wesley Pub. Co., ©1993
(OCoLC)679440155
Material Type: Conference publication
Document Type: Book
All Authors / Contributors: Daniel Friedman; John Rust
ISBN: 0201622637 9780201622638 0201624591 9780201624595
OCLC Number: 26722408
Notes: "Proceedings of the Workshop on Double Auction Markets, held June, 1991 in Santa Fe, New Mexico."
Description: xxvi, 429 pages : illustrations ; 23 cm.
Contents: The double auction market institution : a survey / Dan Friedman --
Automating the continuous double auction in practice : automated trade execution systems in financial markets / Ian Domowitz --
Theories of price formation and exchange in double oral auctions / David Easley and John Ledyard --
The Bayesian theory of the k-double auction / Mark Satterthwaite and Steven Williams --
Design of efficient trading procedures / Robert Wilson --
Behavior of trading automata in a computerized double auction market / John Rust, John Miller, and Richard Palmer --
Lower bounds for efficiency of surplus extraction in double auctions / Dhananjay Gode and Shyam Sunder --
Some effects of restricting the electronic order book in an automated trade execution system / Tim Bollerslev and Ian Domowitz --
An empirical analysis of price formation in double auction markets / Tim Cason and Daniel Friedman. Buyer's bid double auctions : preliminary experimental results / John Kagel and William Vogt --
Designing a uniform-price double auction : an experimental evaluation / Kevin McCabe, Stephen Rassenti, and Vernon Smith --
On the anatomy of the "nonfacilitating" features of the double auction institution in conspiratorial markets / Laura Clauser and Charles Plott --
Convergence in experimental double auctions for stochastically lived assets / Colin Camerer and Keith Weigelt --
Liquidity and persistence of arbitrage in experimental options markets / John O'Brien and Sanjay Srivastava.
Series Title: Proceedings volume in the Santa Fe Institute studies in the sciences of complexity, v. 14.
Responsibility: editors, Daniel Friedman, John Rust.
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Abstract:

This collection of papers focuses on markets organized as double auctions. In a double auction, both buyers and sellers can actively present bids (offers to buy) and asks (offers to sell) for  Read more...

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