Walrasian Tâtonnement Auctions on the Tokyo Grain Exchange

Posted: 25 Jun 2008

See all articles by James E. Eaves

James E. Eaves

Rutgers University

Jeffrey C. Williams

University of California, Davis

Date Written: 2007

Abstract

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 double auctions. Provisional prices and pledges are informative. In contrast to behavior observed in experiments, few pledges are deceptive, because the traders participate repeatedly and because the auctioneer has flexibility when changing the provisional price and ending the auction. Both the risk of the auction ending and the more equitable dispersion of information increase depth and the speed at which information is embodied in price.

Keywords: D44, D53, G13, G14, Q13

Suggested Citation

Eaves, James E. and Williams, Jeffrey C., Walrasian Tâtonnement Auctions on the Tokyo Grain Exchange (2007). The Review of Financial Studies, Vol. 20, No. 4, pp. 1183-1218, 2007, Available at SSRN: https://ssrn.com/abstract=1151153 or http://dx.doi.org/10.1093/rfs/hhm001

James E. Eaves

Rutgers University ( email )

88 Lipman Drive
New Brunswick, NJ 08901-8525
United States

Jeffrey C. Williams

University of California, Davis ( email )

One Shields Avenue
Apt 153
Davis, CA 95616
United States

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