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.

Wall Street Words: An A to Z Guide to Investment Terms for Today's Investor by David L. Scott. Copyright © 2003 by Houghton Mifflin Company. Published by Houghton Mifflin Company. All rights reserved. All rights reserved.

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Dutch auction

References in periodicals archive ?

See generally ABDOLKARIM SADRIEH, THE ALTERNATING DOUBLE AUCTION MARKET: A GAME THEORETIC AND EXPERIMENTAL INVESTIGATION 1-5 (Lecture Notes in ECON.

Double auction markets are fascinating institutions.

An economic analysis of the Private Securities Litigation Reform Act: auctions as an efficient alternative to judicial intervention

They consider three different market microstructures: 1) a continuous, oral double auction market; 2) a call market followed by a continuous market; and 3) a pre-opening period followed by a call market and then a continuous market.

Market microstructure

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.g., Cohen et al.

Thus one obtains a price forecast for every subperiod (i.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.

For example, if there were two transactions at prices $1.00 and $1.10 in a subperiod of a double auction market with rational expectations price (fundamental value) $1.20, then RMSE = [(1/2 ([20.sup.2] + [10.sup.2])).sup.1/2] [approximately equal to] 15.8.(15) In a clearinghouse clearing, the root mean squared deviation reduces to the absolute difference between the clearing price and the rational expectations price.

Copeland and Friedman [1987; 1991] provide useful background information on laboratory procedures and computerized double auction markets. Instructions for the current experiments are available on request.

How trading institutions affect financial market performance: some laboratory evidence

DOUBLE AUCTION MARKETS DA1 NO NO 1:1 2.60 8 DA2 NO NO 1:1 6.10 8 DAX1 NO YES 2:1 7.70 11 DAX2 NO YES 2:1 4.45 11

In double auction markets, a rich public information set is generated as both buyers and sellers enter and accept publicly displayed price quotes within trading periods.

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.

The Hayek hypothesis in experimental auctions: institutional effects and market power

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