Continuous Trading in Thin Private Value Markets: The Multiple-quote Double Auction

摘要

What determines which institution is used for trading in a particular market? It is typically assumed that economic agents in private exchange prefer to trade immediately to economize on time-cost, prefer to trade in a single, centralized location to reduce search costs and prefer to trade anonymously for strategic reasons. This is a trio of requirements that are not currently satisfied by a single institution. For example, bilateral exchange, the call auction and the double auction each perform some of these functions but not all of them. In this paper we introduce an exchange institution that can accommodate these requirements. The institution introduced is, compared to existing institutions, particularly suitable for environments where privacy is valued. It has been argued that the recent failure of public electronic exchanges for business-to-business commerce can be explained by their lack of privacy. The claim is that the survival of bilateral contracting in business-to-business commerce is due to its higher levels of privacy compared to centralized exchanges. The institution is tested experimentally in environments where privacy is potentially valuable and compared to the performance of the standard double auction and bilateral exchange.