A Laboratory Study of Price Formation and Learning in Auction Markets
拍卖市场价格形成和学习的实验室研究
基本信息
- 批准号:9223830
- 负责人:
- 金额:$ 8.55万
- 依托单位:
- 依托单位国家:美国
- 项目类别:Continuing Grant
- 财政年份:1993
- 资助国家:美国
- 起止时间:1993-03-15 至 1996-02-29
- 项目状态:已结题
- 来源:
- 关键词:
项目摘要
How do self-interested traders with private information arrive at equilibrium prices for market exchange? This question of price formation has always been central to economic theory. The question is also crucial in practical applications because many policy interventions (ranging from job retraining programs to SEC reporting requirements in securities markets) are intended to influence the adjustment to equilibrium and therefore their effectiveness depends entirely on the price formation process. Unfortunately, the underlying price formation process is still not well understood, despite centuries of theoretical debate and crucial practical implications. This project conducts four sets of laboratory experiments designed to shed new light on the price formation process. One set employs the Continuous Double Auction (CDA) market institution, which is known to promote exceptionally rapid and reliable price formation in the laboratory. A second set of experiments employs the Single Call Market (SCM), less commonly seen in the field and less efficient in the laboratory but better understood theoretically than the CDA. The other sets of experiments examine intermediate trading institutions called the Multiple Call Market (MCM) and the Uniform Price Double Auction (UPDA). This project provides new empirical evidence on price formation process by addressing two major shortcomings in existing laboratory data. First, almost all market experiments are repetitively stationary (or use fixed additive shifts), so equilibrium price remains constant (or shifts in lockstep) across trading periods. Such an experiment provides only a single observation of price formation, spread across several trading periods. The proposed experiments incorporates random values - private cost and value parameters drawn independently each period from announced uniform distributions. Second, although it is clear that the price formation process depends crucially on the market institutions, the institutional variations in most experiments are insufficient to identify why and how market institutions matter. The proposed experiments incorporate wide institutional variations. Data analysis will be used to test the three promising theoretical approaches found in recent literature to understanding price formation.
具有私人信息的自利交易者如何达成市场交换的均衡价格?价格形成问题一直是经济理论的核心。这个问题在实际应用中也是至关重要的,因为许多政策干预(从就业再培训计划到证券市场的SEC报告要求)旨在影响向均衡的调整,因此其有效性完全取决于价格形成过程。不幸的是,尽管经历了几个世纪的理论争论和关键的实践影响,但潜在的价格形成过程仍然没有得到很好的理解。该项目进行了四组实验室实验,旨在揭示价格形成过程的新情况。其中一套采用连续双向拍卖(CDA)市场机构,众所周知,这种机构在实验室促进异常快速和可靠的价格形成。第二组实验采用单一呼叫市场(SCM),这种市场在现场较少见,在实验室中效率较低,但在理论上比CDA更容易理解。其他几组实验考察了被称为多重赎回市场(MCM)和统一价格双向拍卖(UPDA)的中间交易机构。该项目通过解决现有实验室数据中的两个主要缺陷,为价格形成过程提供了新的经验证据。首先,几乎所有的市场实验都是重复平稳的(或使用固定的相加变化),因此均衡价格在交易期内保持不变(或同步变化)。这样的实验只提供了一个单一的价格形成观察,分布在几个交易期。拟议的实验纳入了随机值--每个时期从宣布的均匀分布中独立得出的私人成本和价值参数。其次,尽管很明显,价格形成过程在很大程度上取决于市场制度,但大多数实验中的制度差异不足以确定市场制度为什么重要以及如何重要。拟议的实验包含了广泛的制度差异。数据分析将被用来检验在最近的文献中发现的理解价格形成的三种有前途的理论方法。
项目成果
期刊论文数量(0)
专著数量(0)
科研奖励数量(0)
会议论文数量(0)
专利数量(0)
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Timothy Cason其他文献
キリスト教民主主義と西ヨーロッパ政治(田口晃・土倉莞爾編著)(イタリア-キリスト教民主党の崩壊過程の予備的考察)
基督教民主与西欧政治(田口晃、土仓宽二主编)(意大利基督教民主党垮台过程初探)
- DOI:
- 发表时间:
2009 - 期刊:
- 影响因子:0
- 作者:
Naoko Nishimura;Timothy Cason;Tatsuyoshi Saijo;Yoshikazu Ikeda;岡山裕;柄谷利恵子;西村直子;岡山裕;小川一夫;初瀬龍平;西條辰義;伊藤武 - 通讯作者:
伊藤武
アメリカ史研究入門(有賀夏紀・紀平英作・油井大三郎編)(再建と金メッキ時代)
美国历史研究概论(有贺夏希、木平荣作、唯大三郎主编)(重建与镀金时代)
- DOI:
- 发表时间:
2009 - 期刊:
- 影响因子:0
- 作者:
Naoko Nishimura;Timothy Cason;Tatsuyoshi Saijo;Yoshikazu Ikeda;岡山裕 - 通讯作者:
岡山裕
アメリカ現代政治の構図-イデオロギー対立とそのゆくえ(五十嵐武士・久保文明編)(イデオロギー政治の変容と連邦司法人事-共和党政権の人事戦略の「転換」を中心に)
当代美国政治的构成——意识形态冲突及其未来(五十岚武、久保文明主编)(意识形态政治与联邦司法人事的变迁——聚焦共和党政府人事战略的“转变”)
- DOI:
- 发表时间:
2009 - 期刊:
- 影响因子:0
- 作者:
Naoko Nishimura;Timothy Cason;Tatsuyoshi Saijo;Yoshikazu Ikeda;岡山裕;柄谷利恵子;西村直子;岡山裕 - 通讯作者:
岡山裕
アルゼンチンのストリート・チルドレン
阿根廷的街头儿童
- DOI:
- 发表时间:
2009 - 期刊:
- 影响因子:0
- 作者:
Naoko Nishimura;Timothy Cason;Tatsuyoshi Saijo;Yoshikazu Ikeda;岡山裕;柄谷利恵子;西村直子;岡山裕;小川一夫;初瀬龍平;西條辰義;伊藤武;小川 一夫;岡山裕;松下洋 - 通讯作者:
松下洋
Spite and Reciprocity in Auctions
拍卖中的恶意和互惠
- DOI:
10.3390/g2030365 - 发表时间:
2011 - 期刊:
- 影响因子:0.9
- 作者:
Naoko Nishimura;Timothy Cason;Tatsuyoshi Saijo;Yoshikazu Ikeda - 通讯作者:
Yoshikazu Ikeda
Timothy Cason的其他文献
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{{ truncateString('Timothy Cason', 18)}}的其他基金
Doctoral Dissertation Research: An Experimental Investigation of the Public Goods Agency Problem
博士论文研究:公共物品代理问题的实验研究
- 批准号:
1123134 - 财政年份:2011
- 资助金额:
$ 8.55万 - 项目类别:
Standard Grant
Doctoral Dissertation Research in Economics: An Experimental Study of Contest Games with Asymmetry and Heterogeneous Groups
经济学博士论文研究:不对称与异质群体竞赛博弈的实验研究
- 批准号:
0751081 - 财政年份:2008
- 资助金额:
$ 8.55万 - 项目类别:
Standard Grant
Doctoral Dissertation Improvement Grant: Public Good Provision with Inter-Group Competition: The Effect of Group Size Asymmetry and Communication
博士论文改进补助金:群体间竞争的公共物品供给:群体规模不对称和沟通的影响
- 批准号:
0721019 - 财政年份:2007
- 资助金额:
$ 8.55万 - 项目类别:
Standard Grant
Laboratory Studies of Transgression, Collective Resistance and social Interactions
越轨、集体抵抗和社会互动的实验室研究
- 批准号:
0516761 - 财政年份:2005
- 资助金额:
$ 8.55万 - 项目类别:
Continuing Grant
Doctoral Dissertation Research in Economics: An Experimental Study of Imperfect Information and Buyer Search with Differentiated Products
经济学博士论文研究:不完全信息与差异化产品买家搜索的实验研究
- 批准号:
0418177 - 财政年份:2004
- 资助金额:
$ 8.55万 - 项目类别:
Standard Grant
A Laboratory Study of Customer Markets
客户市场的实验室研究
- 批准号:
9996024 - 财政年份:1998
- 资助金额:
$ 8.55万 - 项目类别:
Continuing Grant
A Laboratory Study of Customer Markets
客户市场的实验室研究
- 批准号:
9709874 - 财政年份:1997
- 资助金额:
$ 8.55万 - 项目类别:
Continuing Grant
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