I'm trying to understand how a continuous double auction works, by working through the below setup:

enter image description here

I'm trying to figure out

  • what the final results would look like

  • how to determine the equilibrium price and quantity of the experiment

I'd love some pointers on how to go about doing this.

I understand how the limit order book works. You queue up the bids and asks, and then find the closest pair where the ask price is less than the bid price.

So, the first pair of ask/bid prices to be executed are ($1.60, $2.40)? And the next would be ($1.70, $2.30) - and so on?

I'd love some pointer on how to find the equlibrium price.

  • $\begingroup$ Hi, do you have a reference to this text? $\endgroup$ – Pontus Hultkrantz Jan 14 at 11:53

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