Dynamic price formation in a futures market via double auctions

DOI10.1007/BF01213623zbMath0815.90046OpenAlexW2018537170MaRDI QIDQ1341511

Ayman Hindy

Publication date: 5 January 1995

Published in: Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01213623

zbMATH Keywords

speculative marketabsence of liquidity tradersexistence of a perfect equilibriumprocess of price formationsequential anonymous auctions game

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Auctions, bargaining, bidding and selling, and other market models (91B26)

Cites Work

• An expository note on individual risk without aggregate uncertainty
• The revelation of information in strategic market games. A critique of rational expectations equilibrium
• Anonymous sequential games
• Bilateral trade with the sealed bid k-double auction: Existence and efficiency
• Information, trade and common knowledge
• A lattice-theoretical fixpoint theorem and its applications
• Continuous Auctions and Insider Trading
• Futures Trading, Rational Expectations, and the Efficient Markets Hypothesis
• Rational Expectations, Information Acquisition, and Competitive Bidding
• The Price Variability-Volume Relationship on Speculative Markets

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