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Replication data for: Call Market Experiments: Efficiency and Price Discovery through Multiple Calls and Emergent Newton Adjustments

Version
V0
Resource Type
Dataset
Creator
  • Plott, Charles R.
  • Pogorelskiy, Kirill
Publication Date
2017-11-01
Description
  • Abstract

    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.
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/mic.20150201 (Text)
Publications
  • Plott, Charles R., and Kirill Pogorelskiy. “Call Market Experiments: Efficiency and Price Discovery through Multiple Calls and Emergent Newton Adjustments.” American Economic Journal: Microeconomics 9, no. 4 (November 2017): 1–41. https://doi.org/10.1257/mic.20150201.
    • ID: 10.1257/mic.20150201 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-10-13

Plott, Charles R.; Pogorelskiy, Kirill (2017): Replication data for: Call Market Experiments: Efficiency and Price Discovery through Multiple Calls and Emergent Newton Adjustments. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E114345