We propose a Marshallian model for price and allocation adjustments in parallel continuous double auctions. Agents quote prices that they expect will maximize local utility improvements. The process generates Pareto optimal allocations in the limit. In experiments designed to induce CAPM...

We present results from an experiment where participants have access to a set of robots (automated trading algorithms), which they may deploy, launch, halt and replace at will, while still trading manually. We hypothesize that mispricing would be reduced. Yet, we observe equally large and...

We present experimental evidence that security prices do not respond to pressure from their own excess demand, unlike traditionally assumed in economic theory. Instead, prices respond to excess demand of all securities, despite the absence of a direct link between markets. We propose a model of...

Microstructure noise in security prices biases the results of empirical asset pricing specifications, particularly when security-level explanatory variables are cross-sectionally correlated with the amount of noise. We focus on tests of whether measures of illiquidity, which are likely to be...

Experiments constitute an indispensable tool to validate the building blocks of the theories which economists use not only to interpret events in the real world but also to inform regulation and economic policy. This is especially true in the context of multiple, interacting markets, which is...

Participants in an experimental market choose to enter private value trades manually and/or algorithmically. Each algorithm or trading robot makes or takes liquidity based on the trader's current marginal valuation modulo a spread chosen by the trader. We evaluate experimental outcomes against...