Article Sidebar
Main Article Content
Double auction markets are one of the most common exchange institution attracting attention of many traders. The double auction is used for commodity markets and in markets for financial instruments, including options and futures. The trade on Warsaw Commodity Exchange has also certain features of the double auction market. The prevalence of this institution can be caused by its efficiency and its capacity to respond quickly to changing market conditions. The aim of the paper was to show a certain stochastic algorithm for price formation in the double auction. The algorithm was tested on data from Warsaw Commodity Exchange.
Article Details
DICKHAUT J., GJERSTAD S., 1998: Price formation in double auction. Games and Economic Behaviour, 22, 1-29. (Crossref)
DRABIK E., 1999: Aukcje jako gry. Przegląd Statystyczny, Nr 4, 449-467.
DRABIK E., 2000: Zastosowania teorii gier do inwestowania w papiery wartościowe. Wydawnictwo Uniwersytetu w Białymstoku, Białystok.
SADRIEH A., 1998: The Alternating Double Auction Market. A Game Theoretic and Experimental Investigation. Springer-Verlag, Berlin-Heidelberg. (Crossref)
SMITH V.L., 1982: Microeconomic systems as experimental science. American Economic Review, 72, 923-955.
SMITH V.L., WILLIAMS A.W., BRAITON W.K., VANNONI M.O., 1982: Competitive market institutions: double auctions vs. sealed bid-offers auctions. The American Economic Review, Vol. 72, No 1, 58-77.
VICKREY W., 1961: Counterspeculation, auctions, and competitive sealed tenders. Journal of Finance, 16, 8-37. (Crossref)
WILSON R., 1992: Strategic analysis of auctions. [In:] Aumann R.J. and Hart S. (eds): Handbook of Game Theory and Applications. Vol. 1, 228-279, North-Holland, Amsterdam-London-New-York-Tokyo. (Crossref)
Downloads
- Ewa Drabik, Iwona Drabik, Understanding Emotions as a Guarantor for Rational Behaviours of Financial Market Participants , Zeszyty Naukowe SGGW - Ekonomika i Organizacja Gospodarki Żywnościowej: No. 73 (2009)
- Ewa Drabik, Anna Górska, The Evaluation of Investments at the Warsaw Commodity Exchange from January 2002 to July 2004 , Zeszyty Naukowe SGGW - Ekonomika i Organizacja Gospodarki Żywnościowej: No. 54 (2004)
- Ewa Drabik, Anna Górska, Data transformation processes and taking decisions in the circumstances of uncertainty, on the example of WGT SA , Zeszyty Naukowe SGGW - Ekonomika i Organizacja Gospodarki Żywnościowej: No. 63 (2007)
- Ewa Drabik, Agnieszka Lewczuk, Arabian Horse Auction “Pride of Poland” as a Typical Example of English Auction , Zeszyty Naukowe SGGW - Ekonomika i Organizacja Gospodarki Żywnościowej: No. 58 (2006)
- Ewa Drabik, Several comments on formal rules of mathematical modeling economic phenomena and social interactions , Zeszyty Naukowe SGGW - Ekonomika i Organizacja Gospodarki Żywnościowej: No. 79 (2009)
- Ewa Drabik, An application of Ulam’s sequence to analysis of the stock waves , Zeszyty Naukowe SGGW - Ekonomika i Organizacja Gospodarki Żywnościowej: No. 69 (2008)