Call Market Experiments: Efficiency and Price Discovery through Multiple Calls and Emergent Newton Adjustments
通过实验室实验研究多单位呼叫市场，其中订单在预定呼叫时以单一价格清算，市场随时间接近竞争均衡，价格形成受订单流和牛顿-拉夫逊方法影响。
We study multiple-unit, laboratory experimental call markets in which orders are cleared by a single price at a scheduled “call.” The markets are independent trading “days” with two calls each day preceded by a continuous and public order flow. Markets approach the competitive equilibrium over time. The price formation dynamics operate through the flow of bids and asks configured as the “jaws” of the order book with contract execution featuring elements of an underlying mathematical principle, the Newton-Raphson method for solving systems of equations. Both excess demand and its slope play a systematic role in call market price discovery.