scholarly journals Controlling monopoly power in a double‐auction market experiment

2021 ◽  
Author(s):  
Giuseppe Attanasi ◽  
Kene Boun My ◽  
Andrea Guido ◽  
Mathieu Lefebvre
Keyword(s):  
Monopoly Power ◽  
Double Auction ◽  
Auction Market ◽  
Market Experiment

scholarly journals Performance Evaluation for Transactive Energy Systems Using Double-Auction Market

2019 ◽  
Vol 34 (5) ◽  
pp. 4128-4137 ◽  
Author(s):  
Jianming Lian ◽  
Huiying Ren ◽  
Yannan Sun ◽  
Donald J. Hammerstrom
Keyword(s):  
Performance Evaluation ◽  
Energy Systems ◽  
Double Auction ◽  
Auction Market ◽  
Transactive Energy

Minimal Intelligence Agents in Double Auction Markets with Speculators

2011 ◽  
pp. 79-98
Author(s):  
Senlin Wu ◽  
Siddhartha Bhattacharyya
Keyword(s):  
Market Efficiency ◽  
Double Auction ◽  
Sufficient Condition ◽  
Agent Based Model ◽  
Market Conditions ◽  
Market Prices ◽  
Auction Markets ◽  
Agent Based ◽  
Auction Market

This chapter explores the minimal intelligence conditions for traders in a general double auction market with speculation activities. Using an agent-based model, it is shown that when traders and speculators play together under general market curve settings, zero-intelligent plus (ZIP) is still a sufficient condition for market prices to converge to the equilibrium. At the same time, market efficiency is lowered as the number of speculators increase. The experiments demonstrate that the equilibrium of a double auction market is an interactive result of the intelligence of the traders and other factors such as the type of the players and market conditions. This research fills in an important gap in the literature, and strengthens Cliff and Bruten’s (1997) declaration that zero is not enough for a double auction market.

scholarly journals An Asynchronous Double Auction Market to Study the Formation of Financial Bubbles and Crashes

2017 ◽  
Vol 35 (2) ◽  
pp. 129-156 ◽  
Author(s):  
Sadek Benhammada ◽  
Frédéric Amblard ◽  
Salim Chikhi
Keyword(s):  
Double Auction ◽  
Auction Market ◽  
Financial Bubbles

Investor Structure and Stock Price Crash Risk in a Continuous Double Auction Market: An Agent-Based Perspective

2019 ◽  
Vol 18 (02) ◽  
pp. 695-715 ◽  
Author(s):  
Ruwei Zhao ◽  
Xiong Xiong ◽  
Dehua Shen ◽  
Wei Zhang
Keyword(s):  
Confidence Interval ◽  
Institutional Investors ◽  
Stock Price ◽  
Market Model ◽  
Crash Risk ◽  
Double Auction ◽  
Agent Based ◽  
Auction Market ◽  
Improved Stability ◽  
Continuous Double Auction

Multiple studies presume the institutional investors to be informed investors. However, some reports argue that this view is still under debate. In this paper, to avoid the informed investors proxy bias caused by the institutional investors, we construct an agent-based continuous double auction stock market model with both informed and uninformed investors and examine whether stock price crash risk can be affected by the change of investor structure. In particular, we employ four types of investor structures by gradually increasing percentage adjustments of informed investors from 20%, 40%, 60% to 80% within the market. We find that stock clear price and return show significant improved stability coming with the rising weight of informed investors. Beyond that, we recognize the situation that stock clear price falls below 95% confidence interval as crash event and count the number of the stock price crash events within each simulation of each different investor structure. We find that consistent with growing stability of stock clear price and return, stock price crash event number drops dramatically following the higher proportion of informed investors. These findings confirm our hypothesis that the involvement of informed investors contributes to the market stability.

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