Auctions as algorithms. Computerized trade execution and price discovery

DOI10.1016/0165-1889(94)90068-XMaRDI QIDQ1309832zbMATH OpenOpenAlexFDO

Authors Ian Domowitz, Jianxin Wang

Publication date 16 January 1994

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1889(94)90068-x

zbMATH Keywords

computerized auction systemsperiodic single-price auctions

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Economic growth models (91B62)

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Cites work

• Assembly-like queues
• Discrete pricing and the design of dealership markets
• scientific article; zbMATH DE number 3970080 (Why is no real title available?)
• scientific article; zbMATH DE number 3493681 (Why is no real title available?)
• scientific article; zbMATH DE number 3249395 (Why is no real title available?)
• scientific article; zbMATH DE number 3408613 (Why is no real title available?)
• Market Behavior in a Clearing House
• Queues with paired customers

Cited in

(14)

• A computational analysis of the auction algorithm
• Order flow and the bid-ask spread: an empirical probability model of screen-based trading
• Zero-intelligence realized variance estimation.
• THE OPINION GAME: STOCK PRICE EVOLUTION FROM MICROSCOPIC MARKET MODELING
• The Feasibility of an Index-Contingent Trading Mechanism
• A steady-state model of the continuous double auction
• Statistical theory of the continuous double auction
• Optimal auction duration: a price formation viewpoint
• Clearing price distributions in call auctions
• A semi-Markovian modeling of limit order markets
• Limits of Limit-Order Books
• Call auctions with contingent orders
• AHEAD: \textit{ad hoc} electronic auction design
• Comparative dynamics in an overlapping-generations model: the effects of quasi-rational discrete choice on finding and maintaining Nash equilibrium

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