Equilibrium Discovery and Preopening Mechanisms in an Experimental Market

Published Online:https://doi.org/10.1287/mnsc.2013.1787

References

  • Admati AR, Pfleiderer P (1988) A theory of intraday patterns: Volume and price variability. Rev. Financial Stud. 1:3–40.CrossrefGoogle Scholar
  • Aumann R (1990) Nash equilibria are not self-enforcing. Gabszewicz JJ, Richard J-F, Wolsey LA, eds. Economic Decision-Making: Games, Econometrics and Optimisation (North-Holland, Amsterdam), 201–206.Google Scholar
  • Aumann R, Maschler M, Stearns R (1968) Repeated games of incomplete information: An approach to the non-zero-sum case. Mathematica, ST-143, 117–216.Google Scholar
  • Barclay M, Hendershott T (2008) A comparison of trading and nontrading mechanisms for price discovery. J. Empirical Finance 15:839–849.CrossrefGoogle Scholar
  • Battalio R, Samuelson L, Van Huyck J (2001) Optimization incentives and coordination failures in laboratory stag-hunt games. Econometrica 69:749–764.CrossrefGoogle Scholar
  • Beltran-Lopez H, Frey S (2006) Auction design in order book markets: What information is informative? Working paper, Universität Tübingen, Tübingen, Germany.Google Scholar
  • Biais B, Bisière C, Spatt C (2010) Imperfect competition in financial markets: An empirical study of Island and Nasdaq. Management Sci. 56:2237–2250.LinkGoogle Scholar
  • Biais B, Hillion P, Spatt C (1999) Price discovery and learning during the preopening period in the Paris Bourse. J. Political Econom. 107:1218–1248.CrossrefGoogle Scholar
  • Blume A, Ortmann A (2007) The effects of costless preplay communication: Experimental evidence from games with Pareto-ranked equilibria. J. Econom. Theory 132:274–290.CrossrefGoogle Scholar
  • Bossaerts P, Plott C (2004) Basic principles of asset pricing theory: Evidence from large-scale experimental financial markets. Rev. Finance 8:135–169.CrossrefGoogle Scholar
  • Bossaerts P, Fine L, Ledyard J (2002) Inducing liquidity in thin financial markets through combined-value trading mechanisms. Eur. Econom. Rev. 46:1671–1695.CrossrefGoogle Scholar
  • Calcagno R, Lovo S (2010) Preopening and equilibrium selection. Discussion Paper 10-023/2, Tinbergen Institute, Tinbergen, The Netherlands.Google Scholar
  • Cao C, Ghysels E, Hatheway F (2000) Price discovery without trading: Evidence from the Nasdaq preopening. J. Finance 55:1339–1365.CrossrefGoogle Scholar
  • Charness G (2000) Self-serving cheap talk: A test of Aumann's conjecture. Games Econom. Behav. 33:177–194.CrossrefGoogle Scholar
  • Chen Z, Lookman A, Schürhoff N, Seppi D (2011) Why ratings matter: Evidence from the Lehman brothers index rating redefinition. Working paper, HEC Lausanne, Lausanne, Switzerland.Google Scholar
  • Clark K, Kay S, Sefton M (2001) When are Nash equilibria self-enforcing? Internat. J. Game Theory 29:495–515.CrossrefGoogle Scholar
  • Comerton-Forde C, Rydge J (2006) The influence of call auction algorithm rules on market efficiency. J. Financial Markets 9:199–222.CrossrefGoogle Scholar
  • Cooper R, DeJong DV, Forsythe R, Ross TW (1989) Communication in the battle of the sexes game: Some experimental results. RAND J. Econom. 20:568–587.CrossrefGoogle Scholar
  • Cooper R, DeJong DV, Forsythe R, Ross TW (1992) Communication in coordination games. Quart. J. Econom. 107:739–773.CrossrefGoogle Scholar
  • Corrigan JR, Rousu MC, Depositario DP (2012) Do practice rounds bias experimental auction results? Working paper, Kenyon College, Gambier, OH. http://economics.kenyon.edu/corrigan/publications/Do%20Practice%20Rounds%20Bias%20Experimental%20Auction%20Results.pdf.Google Scholar
  • Davies RJ (2003) The Toronto Stock Exchange preopening session. J. Financial Markets 6:491–516.CrossrefGoogle Scholar
  • Deutsche Börse (2009) Xetra Release 10.0: Market Model Equities.Google Scholar
  • Dewan S, Mendelson H (2001) Information technology and trader competition in financial markets: Endogenous liquidity. Management Sci. 47:1581–1587.LinkGoogle Scholar
  • Dow J (2004) Is liquidity self-fulfilling? J. Bus. 77:895–908.CrossrefGoogle Scholar
  • Ellul A, Shin H, Tonks I (2005) Opening and closing the market: Evidence from the London stock exchange. J. Financial Quant. Anal. 40:779–801.CrossrefGoogle Scholar
  • Farrell J (1987) Cheap talk, coordination and entry. RAND J. Econom. 18:34–39.CrossrefGoogle Scholar
  • Farrell J, Rabin M (1996) Cheap talk. J. Econom. Perspect. 10:103–118.CrossrefGoogle Scholar
  • Fischbacher U (2007) Z-Tree: Zurich toolbox for ready-made economic experiments. Experiment. Econom. 10:171–178.CrossrefGoogle Scholar
  • Forsythe R, Lundholm R, Rietz T (1999) Cheap talk, fraud, and adverse selection in financial markets: Some experimental evidence. Rev. Financial Stud. 12:481–518.CrossrefGoogle Scholar
  • Hauser S, Shurki I, Kamara A (2009) Market design and the efficiency of a stock market under liquidity stress. Working paper Ben-Gurion University of the Negev, Beer-Sheva, Israel. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1364451.CrossrefGoogle Scholar
  • Kalay A, Sade O, Wohl A (2004) Measuring stock illiquidity: An investigation of the demand and supply schedules at the TASE. J. Financial Econom. 74:461–486.CrossrefGoogle Scholar
  • Kelly R (2008) Opening and closing asymmetry: Empirical analysis from ISE Xetra. Econom. Soc. Rev. 39:55–78.Google Scholar
  • Kuk J, Liu W-M, Pham PK (2009) Strategic order submission and cancellation in pre-opening periods and its impact on price discovery: The case of IPO firms. AFA 2010 Atlanta Meetings Paper.CrossrefGoogle Scholar
  • McKelvey R, Palfrey T (1992) An experimental study of the centipede game. Econometrica 60:803–836.CrossrefGoogle Scholar
  • NASDAQ Stock Market (2007) Frequently asked questions: The NASDAQ closing cross. Updated February 16, 2007, http://www.nasdaqtrader.com/content/ProductsServices/Trading/Crosses/ccfaqs217.pdf.Google Scholar
  • Pagano M (1989) Trading volume and asset liquidity. Quart. J. Econom. 104:255–274.CrossrefGoogle Scholar
  • Pouget S (2007a) Market design and traders' bounded rationality: An experiment. J. Financial Markets 10:287–317.CrossrefGoogle Scholar
  • Pouget S (2007b) Adaptive traders and the design of financial markets. J. Finance 62:2835–2863.CrossrefGoogle Scholar
  • Roth AE (1995) Bargaining experiments. Kagel JH, Roth AE, eds. Handbook of Experimental Economics (Princeton University Press, Princeton, NJ), 253–348.CrossrefGoogle Scholar
  • Schmidt D, Shupp R, Walker JM, Ostrom E (2003) Playing safe in coordination games: The roles of risk dominance, payoff dominance, and history of play. Games Econom. Behav. 42:281–299.CrossrefGoogle Scholar
  • Selten R (1975) A reexamination of the perfectness concept for equilibrium points in extensive games. Internat. J. Game Theory 4:25–55.CrossrefGoogle Scholar
  • Valley K, Thompson L, Gibbons R, Bazerman M (2002) How communication improves efficiency in bargaining games. Game Econom. Behav. 38:127–155.CrossrefGoogle Scholar
  • Van Huyck J, Battalio R, Beil R (1990) Tacit coordination games, strategic uncertainty, and coordination failure. Amer. Econom. Rev. 80:234–248.Google Scholar
  • Vives X (1995) The speed of information revelation in a financial market mechanism. J. Econom. Theory 67:178–204.CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.