Experimental evidence on trading behavior, market efficiency and price formation in double auctions with unknown trading duration

2005 ◽  
Vol 26 (8) ◽  
pp. 475-497 ◽  
Author(s):  
Darren Duxbury
Keyword(s):  
Experimental Evidence ◽  
Market Efficiency ◽  
Price Formation ◽  
Trading Behavior ◽  
Double Auctions

scholarly journals Price Formation in Double Auctions

2007 ◽  
pp. 106-134 ◽  
Author(s):  
Steven Gjerstad ◽  
John Dickhaut
Keyword(s):  
Price Formation ◽  
Double Auctions

scholarly journals The Effect of Ambiguity on Price Formation and Trading Behavior in Financial Markets

2021 ◽  
Author(s):  
Wenhui Li ◽  
Peter Ockenfels ◽  
Christian Wilde
Keyword(s):  
Financial Markets ◽  
Price Formation ◽  
Trading Behavior

Dynamic price formation in a futures market via double auctions

1994 ◽  
Vol 4 (4) ◽  
pp. 539-560 ◽  
Author(s):  
Ayman Hindy
Keyword(s):  
Futures Market ◽  
Price Formation ◽  
Double Auctions ◽  
Dynamic Price

scholarly journals Market Efficiency under the Arrangement of Transaction Rules of the RCCL Market from the Supply-Side Perspective

2020 ◽  
Vol 12 (18) ◽  
pp. 7660 ◽  
Author(s):  
Meie Deng ◽  
Anlu Zhang
Keyword(s):  
Transaction Costs ◽  
Market Efficiency ◽  
Transaction Cost ◽  
Three Dimensions ◽  
Price Formation ◽  
Market Uncertainty ◽  
Important Means ◽  
The Government ◽  
Collective Construction ◽  
The Impact

This paper analyzes market efficiency under the formal transaction rules of the rural collective construction land (RCCL) market in Nanhai District. These transaction rules are not perfect, market uncertainty is strong, and transaction costs remain high. Transaction rules are an important means by which the government can intervene in the market, protect farmers’ land-use and income rights, and make the market more open, equitable, and just. Using a field survey (260 questionnaires) in Nanhai District, Guangdong Province, China, we estimated the impact of the openness, equity, and justice of transaction rules on the transaction costs of the RCCL market. Tobit models were constructed, and the results showed the following: (1) The overall level of market efficiency of the RCCL in Nanhai District is low. In different regions, the highest market efficiency is in Guicheng Street and the lowest is in Xiqiao Town. However, after excluding the influence of environmental and random factors, the overall level of market efficiency decreased, while the market efficiency of Lishui and Xiqiao Town increased. (2) The influencing factors of RCCL market efficiency under the arrangement of transaction rules are mainly related to the disclosure of information in the openness dimension, income distribution and supervision in the fairness dimension, and land-price formation in the fairness dimension. Therefore, we suggest that the lower the transaction cost of an RCCL market, the more active the market will be. It is very important to improve the transaction rules of the RCCL market, reduce the transaction cost, and improve the market efficiency. The transaction rules of the RCCL market should be further improved in the three dimensions of openness, equity, and justice. Our work provides insight into the improvement of market efficiency, which contributes to the development of the RCCL markets in other areas of China and worldwide.

scholarly journals Price Formation in Double Auctions

1998 ◽  
Vol 22 (1) ◽  
pp. 1-29 ◽  
Author(s):  
Steven Gjerstad ◽  
John Dickhaut
Keyword(s):  
Price Formation ◽  
Double Auctions

scholarly journals Predictability in securities price formation: differences between developed and emerging markets

2020 ◽  
Vol 4 (2) ◽  
pp. 145-166
Author(s):  
Silvio John Camilleri ◽  
Semiramis Vassallo ◽  
Ye Bai
Keyword(s):  
Emerging Markets ◽  
Market Efficiency ◽  
Price Formation ◽  
Content Type ◽  
Emerging Stock Markets ◽  
Conflicting Evidence ◽  
Pricing Process ◽  
Prior Literature ◽  
Empirical Tests ◽  
Price Discovery Process

PurposeThis paper examines whether there are differences in the nature of the price discovery process across established versus emerging stock markets using a twenty-country sample.Design/methodology/approachThe authors analyse security returns for traces of predictability or non-randomness using variance ratio tests, Granger-Causality models and runs tests.FindingsThe findings pinpoint at predictabilities which seem inconsistent with market efficiency, and they suggest that the inherent cause of predictability differs across groups.Research limitations/implicationsThe authors present empirical evidence which may be used to attain a deeper understanding of the links between predictability and market efficiency, in view of the conflicting evidence in prior literature.Practical implicationsWhilst the pricing process in emerging markets may be hindered by delayed adjustments, in case of established markets it seems that there is a higher tendency for price reversals which could be due to prior over-reactions.Originality/valueThis study presents evidence of substantial differences in predictability across developed and emerging markets which was gleaned through the rigorous application of different empirical tests.

Experimental Evidence on Price Formation in Competitive Markets

1972 ◽  
Vol 80 (2) ◽  
pp. 375-385 ◽  
Author(s):  
Alan C. Hess
Keyword(s):  
Experimental Evidence ◽  
Price Formation ◽  
Competitive Markets
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