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Displaying results 1 to 4 of 4.

  1. Over-the-counter markets vs double auctions
    a comparative experimental study
    Author: Attanasi, Giuseppe; Centorrino, Samuele; Moscati, Ivan
    Published: 2014
    Publisher:  Stony Brook Univ., Dep. of Economics, Stony Brook, NY

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Inter-library loan:
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working papers / Stony Brook University, Economics Department ; 14,06
    Subjects: Market experiments; Over-the-counter market; Double auction; Private vs public information; Efficiency
    Scope: Online-Ressource (27 S.), graph. Darst.
  2. On market prices in double auctions
    Author: Jantschgi, Simon; Nax, Heinrich H.; Pradelski, Bary S. R.; Pycia, Marek
    Published: February 2022
    Publisher:  University of Zurich, Department of Economics, Zurich

    We address some open issues regarding the characterization of double auctions. Our model is a two-sided commodity market with either finitely or infinitely many traders. We first unify existing formulations for both finite and infinite markets and... more

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 191
    Inter-library loan:
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    We address some open issues regarding the characterization of double auctions. Our model is a two-sided commodity market with either finitely or infinitely many traders. We first unify existing formulations for both finite and infinite markets and generalize the characterization of market clearing in the presence of ties. Second, we define a mechanism that achieves market clearing in any, finite or infinite, market instance and show that it coincides with the k-double auction by Rustichini et al. (1994) in the former case. In particular, it clarifies the consequences of ties in submissions and makes common regularity assumptions obsolete. Finally, we show that the resulting generalized mechanism implements Walrasian competitive equilibrium.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/251437
    Series: Working paper series / University of Zurich, Department of Economics ; no. 404
    Subjects: Auktionstheorie; Allgemeines Gleichgewicht; Marktmechanismus; Preis; Double auction; Walrasian equilibrium; finite and infinite markets; axiomatization
    Scope: 1 Online-Ressource (circa 15 Seiten), Illustrationen
  3. Fees, incentives, and efficiency in large double auctions
    Author: Jantschgi, Simon; Nax, Heinrich H.; Pradelski, Bary S. R.; Pycia, Marek
    Published: February 2022
    Publisher:  University of Zurich, Department of Economics, Zurich

    Fees are omnipresent in markets but, with few exceptions, are omitted in economic models-such as Double Auctions-of these markets. Allowing for general fee structures, we show that their impact on incentives and efficiency in large Double Auctions... more

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    Verlag (lizenzpflichtig)
    Resolving-System (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 191
    Inter-library loan:
    No inter-library loan

     

    Fees are omnipresent in markets but, with few exceptions, are omitted in economic models-such as Double Auctions-of these markets. Allowing for general fee structures, we show that their impact on incentives and efficiency in large Double Auctions hinges on whether the fees are homogeneous (as, e.g., fixed fees and price fees) or heterogeneous (as, e.g., bid-ask spread fees). Double Auctions with homogeneous fees share the key advantages of Double Auctions without fees: markets with homogeneous fees are asymptotically strategyproof and efficient. We further show that these advantages are preserved even if traders have misspecified beliefs. In contrast, heterogeneous fees lead to complex strategic behavior (price guessing) and may result in severe market failures. Allowing for aggregate uncertainty, we extend these insights to market organizations other than the Double Auction.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/251438
    Series: Working paper series / University of Zurich, Department of Economics ; no. 405
    Subjects: Double auction; fees; transaction costs; incentives; strategyproofness; efficiency; robustness
    Scope: 1 Online-Ressource (circa 61 Seiten), Illustrationen
    Notes:

    Datei wurde von der herausgebenden Institution entfernt
  4. Information, market power and welfare
    Author: Lou, Youcheng; Rahi, Rohit
    Published: September 2021
    Publisher:  [LSE Financial Markets Group], [London]

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    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Inter-library loan:
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Discussion paper / Financial Markets Group ; no 842
    Paul Woolley Centre working paper ; no 81
    Subjects: Double auction; interdependent values; market power; adverse selection; information acquisition; welfare
    Scope: 1 Online-Ressource (circa 43 Seiten)