Price Formation in Single Call Markets
通过实验室实验研究单次集合竞价市场的价格形成过程，发现贝叶斯纳什均衡理论能解释部分定性特征，但实际报价行为对定价规则变化的反应不如理论预测敏感，且交易效率低于理论预测。
This paper reports a laboratory experiment designed to examine the price formation process in a simple market institution, the single call market. The experiment features random values and costs each period, so each period generates a new price formation observation. Other design features are intended to enhance the predictive power of the Bayesian Nash equilibrium (BNE) theory developed recently for this trading institution. We find that the data support several qualitative implications of the BNE, but that subjects' bid and ask behavior is not as responsive to changes in the pricing rule as the BNE predictions. Bids and asks tend to reveal more of the underlying values and costs than predicted, particularly when subjects are experienced. Nevertheless, observed trading efficiency falls below the BNE prediction. The results offer more support for the BNE when subjects compete against Nash robot opponents. A simple learning model accounts for several of the deviations from BNE.