Replication data for: Call Market Experiments: Efficiency and Price Discovery through Multiple Calls and Emergent Newton Adjustments
Principal Investigator(s): View help for Principal Investigator(s) Charles R. Plott; Kirill Pogorelskiy
Version: View help for Version V1
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MIC2015-0201_data | 10/25/2021 03:29:PM | ||
LICENSE.txt | text/plain | 14.6 KB | 10/12/2019 06:46:PM |
Project Citation:
Plott, Charles R., and Pogorelskiy, Kirill. Replication data for: Call Market Experiments: Efficiency and Price Discovery through Multiple Calls and Emergent Newton Adjustments. Nashville, TN: American Economic Association [publisher], 2017. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E114345V1
Project Description
Summary:
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We study multiple-unit, laboratory experimental call markets in which orders are cleared by a single price at a scheduled "call." The markets are independent trading "days" with two calls each day preceded by a continuous and public order flow. Markets approach the competitive equilibrium over time. The price formation dynamics operate through the flow of bids and asks configured as the "jaws" of the order book with contract execution featuring elements of an underlying mathematical principle, the Newton-Raphson method for solving systems of equations. Both excess demand and its slope play a systematic role in call market price discovery.
Scope of Project
Subject Terms:
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Laboratory experiment
JEL Classification:
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C92 Design of Experiments: Laboratory, Group Behavior
D41 Market Structure, Pricing, and Design: Perfect Competition
D44 Auctions
G14 Information and Market Efficiency; Event Studies; Insider Trading
C92 Design of Experiments: Laboratory, Group Behavior
D41 Market Structure, Pricing, and Design: Perfect Competition
D44 Auctions
G14 Information and Market Efficiency; Event Studies; Insider Trading
Data Type(s):
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experimental data
Methodology
Data Source:
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student subjects
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