Competitive Market Behavior: Convergence and Asymmetry in the Experimental Double Auction
Abstract
We conducted a large number of controlled continuous double auction experiments to reproduce and stress-test the phenomenon of convergence to competitive equilibrium under private information with decentralized trading feedback. Our main finding is that across a total of 104 markets (involving over 1,700 subjects), convergence occurs after a handful of trading periods. Initially, however, there is an inherent asymmetry that favors buyers, typically resulting in prices below equilibrium levels. Analysis of over 80,000 observations of individual bids and asks helps identify empirical ingredients contributing to the observed phenomena including higher levels of aggressiveness initially among buyers than sellers. Show more
Permanent link
https://doi.org/10.3929/ethz-b-000605280Publication status
publishedExternal links
Journal / series
International Economic ReviewVolume
Pages / Article No.
Publisher
Wiley-BlackwellFunding
324247 - Modeling the Emergence of Social Complexity and Order: How Individual and Societal Complexity Co-Evolve (EC)
654024 - SoBigData Research Infrastructure (SBFI)
More
Show all metadata
ETH Bibliography
yes
Altmetrics