Equilibrium Discovery and Preopening Mechanisms in an Experimental Market
通过实验研究开盘前机制如何促进交易者协调在高流动性均衡上，发现非约束性报价易被操纵，随机开盘可抑制操纵但增加沟通成本，约束性报价能最大化交易收益。
We experimentally analyze how to design preopening mechanisms facilitating coordination on high equilibrium liquidity and gains from trade. We allow a call auction to be preceded by a preopening or not, preopening orders to be binding or not, and the opening time to be deterministic or random. When the preopening is nonbinding, traders place manipulative orders, reducing the credibility of preplay communication. Random market opening deters manipulation, but also hinders communication by making it costly. Gains from trade are maximized when preopening orders are binding. This enables some traders to place early limit orders, attracting further liquidity. Data, as supplemental material, are available at http://dx.doi.org/10.1287/mnsc.2013.1787 . This paper was accepted by Wei Xiong, finance.