Which performs better under trader settings, double auction or uniform price auction?

Koji Kotani, Kenta Tanaka, Shunsuke Managi

研究成果: ジャーナルへの寄稿記事

2 引用 (Scopus)

抄録

A marketable permit system (MPS) has been suggested as a solution to environmental problems. Although the properties of MPSs under non-trader settings, in which each player is exclusively either a seller or a buyer, are well documented, little research has explored how MPSs perform under trader settings, in which each player can be both a seller and a buyer. We institute two auctions of trader settings in MPS experiments: a double auction (DA) and a uniform price auction (UPA). We then evaluate and compare their performances both with each other and with those under non-trader settings. The main results are as follows: DAs under trader settings perform much worse than do DAs under non-trader settings, whereas UPAs perform well, regardless of the trader and non-trader settings. UPAs are more efficient and generate more stable prices than do DAs under trader settings, and a considerable proportion of trades in DAs under trader settings consist of “flips” that could be considered speculation or errors. Thus, UPAs are likely to work better than DAs under trader settings.

元の言語英語
ページ(範囲)247-267
ページ数21
ジャーナルExperimental Economics
22
発行部数1
DOI
出版物ステータス出版済み - 3 15 2019

Fingerprint

Uniform price auction
Traders
Double auction
Marketable permits
Seller
Buyers
Speculation
Proportion
Experiment
Auctions

All Science Journal Classification (ASJC) codes

  • Economics, Econometrics and Finance (miscellaneous)

これを引用

Which performs better under trader settings, double auction or uniform price auction? / Kotani, Koji; Tanaka, Kenta; Managi, Shunsuke.

:: Experimental Economics, 巻 22, 番号 1, 15.03.2019, p. 247-267.

研究成果: ジャーナルへの寄稿記事

@article{879a389a47794742bfc0c3e8fe635c5f,
title = "Which performs better under trader settings, double auction or uniform price auction?",
abstract = "A marketable permit system (MPS) has been suggested as a solution to environmental problems. Although the properties of MPSs under non-trader settings, in which each player is exclusively either a seller or a buyer, are well documented, little research has explored how MPSs perform under trader settings, in which each player can be both a seller and a buyer. We institute two auctions of trader settings in MPS experiments: a double auction (DA) and a uniform price auction (UPA). We then evaluate and compare their performances both with each other and with those under non-trader settings. The main results are as follows: DAs under trader settings perform much worse than do DAs under non-trader settings, whereas UPAs perform well, regardless of the trader and non-trader settings. UPAs are more efficient and generate more stable prices than do DAs under trader settings, and a considerable proportion of trades in DAs under trader settings consist of “flips” that could be considered speculation or errors. Thus, UPAs are likely to work better than DAs under trader settings.",
author = "Koji Kotani and Kenta Tanaka and Shunsuke Managi",
year = "2019",
month = "3",
day = "15",
doi = "10.1007/s10683-018-9585-0",
language = "English",
volume = "22",
pages = "247--267",
journal = "Experimental Economics",
issn = "1386-4157",
publisher = "Springer New York",
number = "1",

}

TY - JOUR

T1 - Which performs better under trader settings, double auction or uniform price auction?

AU - Kotani, Koji

AU - Tanaka, Kenta

AU - Managi, Shunsuke

PY - 2019/3/15

Y1 - 2019/3/15

N2 - A marketable permit system (MPS) has been suggested as a solution to environmental problems. Although the properties of MPSs under non-trader settings, in which each player is exclusively either a seller or a buyer, are well documented, little research has explored how MPSs perform under trader settings, in which each player can be both a seller and a buyer. We institute two auctions of trader settings in MPS experiments: a double auction (DA) and a uniform price auction (UPA). We then evaluate and compare their performances both with each other and with those under non-trader settings. The main results are as follows: DAs under trader settings perform much worse than do DAs under non-trader settings, whereas UPAs perform well, regardless of the trader and non-trader settings. UPAs are more efficient and generate more stable prices than do DAs under trader settings, and a considerable proportion of trades in DAs under trader settings consist of “flips” that could be considered speculation or errors. Thus, UPAs are likely to work better than DAs under trader settings.

AB - A marketable permit system (MPS) has been suggested as a solution to environmental problems. Although the properties of MPSs under non-trader settings, in which each player is exclusively either a seller or a buyer, are well documented, little research has explored how MPSs perform under trader settings, in which each player can be both a seller and a buyer. We institute two auctions of trader settings in MPS experiments: a double auction (DA) and a uniform price auction (UPA). We then evaluate and compare their performances both with each other and with those under non-trader settings. The main results are as follows: DAs under trader settings perform much worse than do DAs under non-trader settings, whereas UPAs perform well, regardless of the trader and non-trader settings. UPAs are more efficient and generate more stable prices than do DAs under trader settings, and a considerable proportion of trades in DAs under trader settings consist of “flips” that could be considered speculation or errors. Thus, UPAs are likely to work better than DAs under trader settings.

UR - http://www.scopus.com/inward/record.url?scp=85051250350&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=85051250350&partnerID=8YFLogxK

U2 - 10.1007/s10683-018-9585-0

DO - 10.1007/s10683-018-9585-0

M3 - Article

AN - SCOPUS:85051250350

VL - 22

SP - 247

EP - 267

JO - Experimental Economics

JF - Experimental Economics

SN - 1386-4157

IS - 1

ER -