The Double Auction Market Institutions, Theories, and Evidence

The double auction market institution – a survey, Dan Friedman automating the continuous double auction in practice – automated trade execution systems in financial markets, Ian Domowitz. Part 2 theories: theories of price formation and exchange in double oral auctions, David Easley and John Ledyard the Bayesian theory of the k-double auction, Mark Satterthwaite and Steven Williams design of efficient trading procedures, Robert Wilson. Part 3 evidence: behaviour of trading automata in a computerized double auction market, John Rust, John Miller, and Richard Palmer lower bounds for efficiency of surplus extraction in double auctions, Dhananjay Gode and Shyam Sunder some effects of restricting the electronic order book in an automated trade execution system, Tim Bollerslev and Ian Domowitz an empirical analysis of price formation in double auction markets, Tim Cason and Daniel Friedman buyers bid double auctions – preliminary experimental results, John Kagel and William Vogt designing a uniform-price double auction – an experimental evaluation, Kevin McCabe, Stephen Rassenti, and Vernon Smith on the anatomy of the nonfacilitating features of the double auction institution in conspiratorial markets, Laura Clauser and Charles Plott convergence in experimental double auctions for stochastically lived assets, Colin Camerer and Keith Weigelt liquidity and persistence of arbitrage in experimental options markets, John O’Brien and Sanjay Srivastava.