Does the option to cancel an order in a double auction market matter?

Steve Crowley, Orly Sade*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

7 Scopus citations

Abstract

Given the non-standardized use of the cancellation rule in the experimental markets literature, this paper investigates whether the ability to cancel orders in a double auction matters. We find that players use the option to cancel orders when it is available and that the option to cancel affects volume, but not price-associated variable.

Original languageAmerican English
Pages (from-to)89-97
Number of pages9
JournalEconomics Letters
Volume83
Issue number1
DOIs
StatePublished - Apr 2004

Bibliographical note

Funding Information:
The authors wish to thank David Plumlee, Steven Kachelmeier, Stuart Mestelman, Mark Van Voeing, Charles Plott, an anonymous referee, and the editor for their helpful comments. We also wish to thank Brad Tuttle, Maribeth Coller and David Plumlee for making their data available. Brad Tuttle wrote the original laboratory market software. Financial support was provided by the School of Accounting and Information Systems at the University of Utah. Sade acknowledges the Krueger Center for Finance at the Hebrew University of Jerusalem for partial financial support. Part of the project was done while Sade visited the DESB, the University of Utah.

Keywords

  • Double auction
  • Experimental markets
  • Order cancellation

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