double auction market

Double auction market

Systems by which listed securities are bought and sold through brokers on the securities exchanges, as distinguished from the OTC market, where trades are negotiated. Unlike the conventional auction with one auctioneer and many buyers, double auction markets consist of many sellers and many buyers.

Auction Market

A security exchange in which buyers make bids and sellers make offers in order to make transactions in a security. On an auction market, the current price for a share in a security is the highest price a buyer is willing to pay and the lowest price a seller is willing to accept. For example, if potential buyers for Security A enter bids of $50, $51, and $52, and potential sellers enter offers of $52, $53, and $54, the current share price is $52. Only the bid/offer for $52 is executed; others must make better bids and offers in order to conduct transactions. The New York Stock Exchange is a major auction market.

double auction market

A market in which multiple buyers compete to purchase many items that are simultaneously offered for sale. Sales are made to buyers willing to offer the highest price by sellers who are willing to offer the lowest price. The New York Stock Exchange is an example of a double auction market.
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He derives necessary conditions for a Bayesian Nash (sequential) equilibrium which imply some inefficiency in a simple double auction market, but at worst only a few of the least valuable trades are missed.
Zabel [1981] argues that a dynamically optimizing trader with sole posting privileges in a double auction market may stabilize transaction prices relative to clearinghouse clearing prices, but some authors (e.
every time interval between news events or beginning or end of the trading period) of a double auction market and for every clearing in a clearinghouse market.
10 in a subperiod of a double auction market with rational expectations price (fundamental value) $1.
Copeland and Friedman [1987; 1991] provide useful background information on laboratory procedures and computerized double auction markets.
To analyze the situation faced by traders as a game of incomplete information is a daunting task, particularly in the case of double auction markets (and clearinghouse markets with book [is greater than] 0) since continuous-time strategies then must be chosen.
How trading institutions affect financial market performance: some laboratory evidence
Double auction markets are fascinating institutions.
An economic analysis of the Private Securities Litigation Reform Act: auctions as an efficient alternative to judicial intervention
Such considerations, combined with early evidence from experimental posted offer markets, led Smith [1982,177] to posit that the Hayek Hypothesis generally performs better in double auction markets than in posted offer markets.
Examination of the four double auction experiments in Figure 2 reveals that our double auction markets generated price deviations of approximately the same magnitude as HLV.
This result parallels HLV's finding for double auction markets in the SMP design.
Similarly, little evidence of the exercise of market power through strategic withholding is evident in three of the four double auction markets (DA2, DAX1 and DA1).
These results parallel HLV's findings in double auction markets.
The Hayek hypothesis in experimental auctions: institutional effects and market power

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