Description |
1 online resource (456 pages) |
Series |
Santa Fe Institute |
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Santa Fe Institute
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Contents |
Cover; Half Title; Title Page; Copyright Page; About the Santa Fe Institute; Santa Fe Institute Editorial Board June 1991; Santa Fe Institute Studies in the Sciences of Complexity; Contributors to This Volume; Table of Contents; Preface; Section I. Institutions; 1. The Double Auction Market Institution: A Survey; 2. Automating the Continuous Double Auction in Practice: Automated Trade Execution Systems in Financial Markets; Section II. Theories; 3. Theories of Price Formation and Exchange in Double Oral Auctions; 4. The Bayesian Theory of the k-Double Auction |
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5. Design of Efficient Trading ProceduresSection III. Evidence; 6. Behavior of Trading Automata in a Computerized Double Auction Market; 7. Lower Bounds for Efficiency of Surplus Extraction in Double Auctions; 8. Some Effects of Restricting the Electronic Order Book in an Automated Trade Execution System; 9. An Empirical Analysis of Price Formation in Double Auction Markets; 10. Buyer's Bid Double Auctions: Preliminary Experimental Results; 11. Designing a Uniform-Price Double Auction: An Experimental Evaluation |
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12. On the Anatomy of the "Nonfacilitating" Features of the Double Auction Institution in Conspiratorial Markets13. Convergence in Experimental Double Auctions for Stochastically Lived Assets; 14. Liquidity and Persistence of Arbitrage in Experimental Options Markets; Index |
Summary |
This collection of papers focuses on markets organized as double auctions (DA) In a double auction, both buyers and sellers can actively present bids (offers to buy) and asks (offers to sell) for standardized units of well-defined commodities and securities. A classic example of a DA market (known by practitioners as an open outcry market) is the commodity trading pit at the Chicago Board of Trade. A related process is a call market, which is used to determine opening prices on the New York Stock Exchange. Already the predominant trading institution for financial and commodities markets, the double auction has many variants and is evolving rapidly in the present era of advancing computer technology and regulatory reform. DA markets are of theoretical as well as practical interest in view of the central role these institutions play in allocating resources. Although the DA has been studied intensively in the labouratory, and practitioners have considerable experience in the field, only recently have tools started to become available to provide the underpinning of a behavioural theory of DA markets |
Bibliography |
Includes bibliographical references and index |
Notes |
Print version record |
Subject |
Commodity exchanges-Data processing-Congresses
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Program trading (Securities)-Congresses
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Securities industry-Data processing-Congresses
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Stock exchanges-Data processing-Congresses
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POLITICAL SCIENCE -- Political Freedom & Security -- Civil Rights.
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POLITICAL SCIENCE -- Political Freedom & Security -- Human Rights.
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Form |
Electronic book
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Author |
Rust, John
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ISBN |
9780429961083 |
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0429961081 |
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9780429972164 |
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0429972164 |
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9780429983245 |
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0429983247 |
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9780429492532 |
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0429492537 |
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