CaltechAUTHORS
  A Caltech Library Service

Information Aggregation in Double Auctions: Rational Expectations and the Winner's Curse

Guarnaschelli, Serena and Kwasnica, Anthony M. and Plott, Charles R. (2002) Information Aggregation in Double Auctions: Rational Expectations and the Winner's Curse. Social Science Working Paper, 1136. California Institute of Technology , Pasadena, CA. (Unpublished) https://resolver.caltech.edu/CaltechAUTHORS:20171129-154020729

[img] PDF (sswp 1136 - Jun. 2003) - Submitted Version
See Usage Policy.

153kB

Use this Persistent URL to link to this item: https://resolver.caltech.edu/CaltechAUTHORS:20171129-154020729

Abstract

This paper inquires about the ability of double auction institutions to aggregate information in the context of a “common value” information structure that is known to produce the winner’s curse in sealed bid environments. While many fundamental features of the economic environment are different from those studied in the context of sealed bids, the pattern of information distributed to the population of traders is the same. This gives us an opportunity to determine if the behaviors reported in sealed bid environments can be detected in the more active market environment. As such the experiments are also a test of the robustness of earlier experiments that demonstrate that in economies with homogeneous preferences similarities single compound securities organized by double auctions are able to aggregate information. The basic result is that a severe winner’s curse is not observed. The irrationality observed in sealed bids does not extend itself to the double auction environment. Information aggregation is observed and the rational expectations model receives support.


Item Type:Report or Paper (Working Paper)
Related URLs:
URLURL TypeDescription
http://resolver.caltech.edu/CaltechAUTHORS:20140220-133533129Related ItemPublished Article
Additional Information:Effort sponsored by the Defense Advanced Research Projects Agency (DARPA) and Air Force Research Laboratory, Air Force Material Command, USAF, under agreement number F30602-00-2-0623. The U.S. Government is authorized to reproduce and distribute reprints for Governmental purposes notwithstanding any copyright annotations thereon." The views and conclusions contained herein are those of the authors and should not be interpreted as necessarily representing the official policies or endorsements, either expressed or implied, of the Defense Advanced Research Projects Agency (DARPA), the Air Force Research Laboratory, or the U.S. Government. Additional support of the National Science Foundation is also acknowledged as is the support of the Laboratory for Experimental Economics and Political Science of the California Institute of Technology. Published as Guarnaschelli, Serena and Kwasnica, Anthony M. and Plott, Charles R. (2003) Information Aggregation in Double Auctions: Rational Expectations and the Winner's Curse. Information Systems Frontiers, 5 (1). pp. 63-77.
Group:Social Science Working Papers
Funders:
Funding AgencyGrant Number
Defense Advanced Research Projects Agency (DARPA)UNSPECIFIED
Air Force Research Laboratory (AFRL)UNSPECIFIED
Air Force Material CommandUNSPECIFIED
USAF Rome LaboratoryF30602-96-C-0020
NSFUNSPECIFIED
Caltech Laboratory for Experimental Economics and Political ScienceUNSPECIFIED
Subject Keywords:Information Aggregation, Asset Markets, Rational Expectations, Experimental Economics
Series Name:Social Science Working Paper
Issue or Number:1136
Record Number:CaltechAUTHORS:20171129-154020729
Persistent URL:https://resolver.caltech.edu/CaltechAUTHORS:20171129-154020729
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:83577
Collection:CaltechAUTHORS
Deposited By: Jacquelyn Bussone
Deposited On:29 Nov 2017 23:52
Last Modified:03 Oct 2019 19:08

Repository Staff Only: item control page