【主讲】Jinpeng Ma 教授 (Rutgers University, the State University of New Jersey)
【主题】Bubbles, Crashes and Efficiency with Double Auction Mechanisms in Stochastic Environments
【时间】2014年7月11日 (周五) 15：30-17：00
【地点】上海财经大学经济学院楼801室
【语言】英文
【摘要】This paper studies the double auction (DA) mechanism in [13] for a class of ex-change economies. We extend their results to more general cases where sellers and buyers each form a complex time non-homogeneous Markovian chain, as specified in Ram et al. [16], in the communication of their private information. A numerical example is also provided. Both bubbles and crashes are observed in the example, consistent with results of our theorems. Our example and theoretical results provide new evidence that a DA mechanism, widely utilized in real exchange markets, may contribute to the excess volatility identified in [17, 11].
