The matching of interactive agents in the futures stock market and the U-Mart experiment

Yuji Aruka, Yuhsuke Koyama

研究成果

1 被引用数 (Scopus)

抄録

It is usually considered that the market is not regarded as fair if any agent participating in the market fieldshould a priori know explicitly the others’ situations or preferences. Without this kind of ignorance among participating agents, market trading becomes less fair as more personal information becomes revealed. A classical auctioneer simplybehaves as a catalyst to coordinate a set of orders. The auctioneer should a priori not collect all asks/bids among the participating agents. In this context, even the submission of a sealed bid may violate the fairness of the market. So theclassical theory of auction starts from the assumption of complete ignorance. This implies that the auctioneer does not employ any cumulated form of supply or demand, i.e., the supply/demand curve. The visible curves may no longer be compatible with the assumption of ignorance. Now we examine a numerical example similar to one which Morishima (1984) took. Ifwe neglect the ignorance of personal information, we can immediately construct the supply curve by cumulating the order at each price starting from the order at the lowest price (the market order), while the demand curve by cumulating the orders at each price starting from the order at the highest price (the market order). These curves thus are independentlyderived. We call this method “the collective method.” First of all, we verify by the use of a numerical example that theclassical procedure can derive the same equilibrium as the collective method.

本文言語English
ホスト出版物のタイトルThe Evolution of Economic Theory
ホスト出版物のサブタイトルEssays in Honour of Bertram Schefold
出版社Taylor and Francis
ページ145-167
ページ数23
ISBN(電子版)9781136821325
ISBN(印刷版)9780415596831
DOI
出版ステータスPublished - 2013 1 1

ASJC Scopus subject areas

  • 経済学、計量経済学および金融学(全般)
  • ビジネス、管理および会計(全般)

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