Title :
Uniform price versus discriminatory auctions in bond markets: A experimental analysis based on multi-agents system
Author :
Liu, Xiaofeng ; Cao, Hua
Author_Institution :
Dept. of Finance, Nankai Univ., Tianjin, China
Abstract :
The uniform price auction and discriminatory price auction are used in bond issue. Which auction has higher market efficiency is still an unresolved problem. In this paper, we compare the difference between uniform price auction and discriminatory auction with simulated experiments. The results show that the uniform price auction is a better choice in a long term. And discriminatory price auction is efficient as a short-term policy.
Keywords :
commerce; multi-agent systems; pricing; stock markets; bond markets; discriminatory price auction; experimental analysis; multiagent system; uniform price auction; Atmospheric measurements; Bismuth; Economics; Educational institutions; Finance; Games; Instruments; auction; bond markets; market efficiency; simulated experiments;
Conference_Titel :
Artificial Intelligence, Management Science and Electronic Commerce (AIMSEC), 2011 2nd International Conference on
Conference_Location :
Deng Leng
Print_ISBN :
978-1-4577-0535-9
DOI :
10.1109/AIMSEC.2011.6010649
