EconPapers    
Economics at your fingertips  
 

Experiments on Electronic Double Auctions and Abnormal Trades

Lucy Ackert (), Lei Jiang () and Li Qi ()
Additional contact information
Lei Jiang: School of Economics and Management, Tsinghua University, Room 328, Weilun Building, Tsinghua, Haidian District, Beijing, 100084, China
Li Qi: Department of Economics, Agnes Scott College, 141 E. College Avenue, Decatur, GA 30030

Southern Economic Journal, 2016, vol. 83, issue 1, 87-104

Abstract: The flash crash experienced by U.S. markets in May 2010 provided stark evidence that a large trade can have a powerful influence. We explore the impact of an unusual trade on behavior inexperimental bubbles markets. We chose the experimental design proposed by Smith, Suchanek, and Williams (1988) because replication shows it produces markets prone to mispricing. After several rounds of trading, our markets receive a large quantity order at an extreme price. In a standard double auction bubble market, pricing is unaffected by an abnormal order. However, with increased uncertainty about the underlying economic value of the asset, over-pricing weakens on arrival of a negative price shock.

JEL-codes: C92 G1 (search for similar items in EconPapers)
Date: 2016
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://dx.doi.org/10.1002/soej.12124

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sej:ancoec:v:83:1:y:2016:p:87-104

Access Statistics for this article

Southern Economic Journal is currently edited by Laura Razzolini

More articles in Southern Economic Journal from Southern Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Laura Razzolini ().

 
Page updated 2018-06-18
Handle: RePEc:sej:ancoec:v:83:1:y:2016:p:87-104