The matching of interactive agents in the futures stock market and the U-Mart experiment

Yuji Aruka, Yuhsuke Koyama

Research output: Chapter in Book/Report/Conference proceedingChapter

2 Citations (Scopus)


It is usually considered that the market is not regarded as fair if any agent participating in the market fieldshould a priori know explicitly the others’ situations or preferences. Without this kind of ignorance among participating agents, market trading becomes less fair as more personal information becomes revealed. A classical auctioneer simplybehaves as a catalyst to coordinate a set of orders. The auctioneer should a priori not collect all asks/bids among the participating agents. In this context, even the submission of a sealed bid may violate the fairness of the market. So theclassical theory of auction starts from the assumption of complete ignorance. This implies that the auctioneer does not employ any cumulated form of supply or demand, i.e., the supply/demand curve. The visible curves may no longer be compatible with the assumption of ignorance. Now we examine a numerical example similar to one which Morishima (1984) took. Ifwe neglect the ignorance of personal information, we can immediately construct the supply curve by cumulating the order at each price starting from the order at the lowest price (the market order), while the demand curve by cumulating the orders at each price starting from the order at the highest price (the market order). These curves thus are independentlyderived. We call this method “the collective method.” First of all, we verify by the use of a numerical example that theclassical procedure can derive the same equilibrium as the collective method.

Original languageEnglish
Title of host publicationThe Evolution of Economic Theory
Subtitle of host publicationEssays in Honour of Bertram Schefold
PublisherTaylor and Francis
Number of pages23
ISBN (Electronic)9781136821325
ISBN (Print)9780415596831
Publication statusPublished - 2013 Jan 1

ASJC Scopus subject areas

  • Economics, Econometrics and Finance(all)
  • Business, Management and Accounting(all)


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