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政大機構典藏 > 社會科學學院 > 經濟學系 > 期刊論文 > Item 140.119/50623

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/50623

Title:	Statistical Properties of an Experimental Political Futures Markets
Authors:	Chen,Shu-Heng;WANG,SUN-CHONG;LI,SAI-PING;TAI,CHUNG-CHING 陳樹衡
Contributors:	政治大學經濟系
Date:	2009
Issue Date:	2011-07-28 10:36:27 (UTC+8)
Abstract:	A 24-hour exchange market was created on the Web to trade political futures contracts using fictitious money. In this online market, a political futures contract is a futures contract which matures on the election day with a liquidation price determined by the percentage of votes a candidate receives on the election day. Continuous double auctions were implemented as the system for order storage and price discovery. We drew market participants in the form of tournaments in which top traders won cash awards. Such a market was run, with about 400 registered traders, during the U.S. presidential election in November 2004 and Taiwan parliamentary election in December 2004. The experiments recorded transaction price, highest bid, lowest ask, and trading volume of each contract as a function of time. Despite the relatively small scale of the exchange, in terms of the number of participants and duration of the tournament, we report evidence for asymptotic power-law behaviors of the distributions of price returns, trading volumes, inter-transaction time intervals, and accumulated wealth that were found universal in real financial markets.
Relation:	Quantitative Finance, 9(1), 9-16
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1080/14697680701447482
DOI:	10.1080/14697680701447482
Appears in Collections:	[經濟學系] 期刊論文

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