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| Author: | Hindy, A. |
| Title: | Dynamic price formation in a futures market via double actions |
| Journal: | Economic Theory
1994 : VOL. 4:4, p. 539-560 |
| Index terms: | PRICES FUTURES MARKETS AUCTIONS |
| Language: | eng |
| Abstract: | The author reports an exploratory study of the process of price formation in a speculative market in the absence of liquidity traders. Traders exchange a futures contract because they interpret information differently. The author formulates trading as a sequence of anonymous double auctions and introduce a notion of bounded rationality in which traders use approximate models of market response in forming their bids. He proves existence of a perfect equilibrium in the sequintial anonymous auctions game. |
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