Call Market Experiments: Efficiency and Price Discovery Through Multiple Calls and Emergent Newton Adjustments
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 continuous and public order ow. Markets approach the competitive equilibrium over time. The price formation dynamics operate through the ow of bids and asks congured 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.