Auctions as algorithms. Computerized trade execution and price discovery

DOI10.1016/0165-1889(94)90068-XzbMath0782.90028OpenAlexW1520976066MaRDI QIDQ1309832

Ian Domowitz, Jianxin Wang

Publication date: 16 January 1994

Published in: Journal of Economic Dynamics \& 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

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

Related Items (8)

Comparative dynamics in an overlapping-generations model: the effects of quasi-rational discrete choice on finding and maintaining Nash equilibrium ⋮ Order flow and the bid-ask spread: an empirical probability model of screen-based trading ⋮ Limits of Limit-Order Books ⋮ Zero-intelligence realized variance estimation. ⋮ A steady-state model of the continuous double auction ⋮ Statistical theory of the continuous double auction ⋮ THE OPINION GAME: STOCK PRICE EVOLUTION FROM MICROSCOPIC MARKET MODELING ⋮ A Semi-Markovian Modeling of Limit Order Markets

Cites Work

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• Discrete pricing and the design of dealership markets
• Queues with paired customers
• Market Behavior in a Clearing House
• Assembly-like queues

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