PL EN


2006 | 53 | 4 | 7-24
Article title

AN EXPERIMENTAL STUDY OF PRICE FORMATION IN DOUBLE AUCTION BASED ON DATA FROM THE WARSAW COMMODITY EXCHANGE

Authors
Title variants
Languages of publication
PL
Abstracts
EN
Double auction markets are ones of the most common exchange institutions and they attract the attention of many traders. The double auction is used, for example in stock markets such as the Chicago Mercantile Exchange, and in markets for financial instruments, including options and futures. The trade on the Warsaw Commodity Exchange has also the certain features of the double auction market. The prevalence of the institution can be caused by its efficiency and by its capacity to respond quickly to changing market conditions. A variety of auction strategies are based on the game theory principles. In the double auctions, buyers and sellers are treated symmetrically with buyers submitting bids and sellers submitting asks. Both, the sellers and the buyers are players and the double auction rules are similar to the 'rules of the game'. In a static double auction, both the buyers and the sellers supply and demand schedules. A price is then selected and equates supply and demand at the price. If the price is nondiscriminating then all traders are consummated at the selected clearing price. This procedure is sometimes called a demand-submission game. In a dynamic double auction buyers and sellers have repeated opportunities to submit the bids and respectively the offers. It is commonly used in commodity market and some financial markets. Our aim is to show a stochastic algorithm of calculating the transaction price for the double auction. We are going to test the above algorithm for the data from the Warsaw Commodity Exchange.
Year
Volume
53
Issue
4
Pages
7-24
Physical description
Document type
ARTICLE
Contributors
  • E. Drabik, Szkola Glówna Gospodarstwa Wiejskiego, Katedra Ekonometrii i Informatyki, ul. Nowoursynowska 166, 02-787 Warszawa, Poland
References
Document Type
Publication order reference
Identifiers
CEJSH db identifier
07PLAAAA02204649
YADDA identifier
bwmeta1.element.a043440d-242b-387d-b1b7-19fc6b3cf9ba
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