Eaves, James; Williams, Jeffrey - In: Review of Financial Studies 20 (2007) 4, pp. 1183-1218
The Tokyo Grain Exchange (TGE)’s itayose mechanism provides the opportunity to analyze functioning Walrasian tâtonnement auctions (WTA). In 15,677 auctions conducted over 1997–1998 for corn and redbean futures contracts, price formation is unexpectedly similar to that observed in continuous...