Call Market Experiments: Efficiency and Price Discovery Through Multiple Calls and Emergent Newton Adjustments
The major features of a real-time, multi-unit, laboratory experimental call market exchange are studied. In the call market the order flow accumulates and trades are executed simultaneously by a scheduled "call" in which the market is cleared at a single price. The markets are organized as a series of independent trading "days" with two calls each day. Order flow is continuous during a trading day before calls. Efficiency, call volumes, and price discovery are studied. Prices and volumes approach the competitive equilibrium over time and respond to parameter shifts. The micro dynamics of equilibration reflect the order flow and market "jaws" of the order book as structured by an underlying mathematical principle, the Newton method for solving systems of equations.