Published July 2015
| Submitted
Working Paper
Open
Call Market Experiments: Efficiency and Price Discovery through Multiple Calls and Emergent Newton Adjustments
- Creators
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Pogorelskiy, Kirill
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Plott, Charles R.
Chicago
An error occurred while generating the citation.
Abstract
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 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 structured by an underlying mathematical principle, the Newton method for solving systems of equations. Thus, both excess demand and its slope play a systematic role in call market price discovery.
Additional Information
We thank Skylar Cook and Megan Cutrofello, and other students in the Caltech experimental economics class who actively participated in this project in the beginning and contributed to the experimental design. We are grateful to Brian Merlob for helping us monitor the experimental sessions and recording the demonstration video. We express our warm thanks to Tim Cason, Stefano DellaVigna, David Eil, Dan Friedman, Ben Gillen, Dan Levin, Tibor Neugebauer, Stefan Palan, Tom Palfrey, Charles Sprenger, Rakesh Vohra, Bill Zame, and participants of the 2014 Santa Barbara Conference on Experimental and Behavioral Economics for useful comments. We acknowledge the financial support of the Caltech EEPS laboratory.Attached Files
Submitted - sswp1404_20150730.pdf
Files
sswp1404_20150730.pdf
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Additional details
- Eprint ID
- 64646
- Resolver ID
- CaltechAUTHORS:20160222-141654454
- Caltech Laboratory for Experimental Economics and Political Science
- Created
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2016-02-25Created from EPrint's datestamp field
- Updated
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2019-10-03Created from EPrint's last_modified field
- Caltech groups
- Social Science Working Papers
- Series Name
- Social Science Working Paper
- Series Volume or Issue Number
- 1404