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Uncertainty and partial adjustment in double-auction markets |
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| Affiliation: | Oregon State University, Corvallis, OR 97331, USA;University of Arizona, Tucson, AZ 85721, USA |
| Abstract: | A model is presented of price determination in double-auction markets. The framework is contrasted with naive autoregressive models of price behavior. Implications of model choice are illustrated with the use of market experiments from several institutions. |
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