dorsal/arxiv
View SchemaStatistical properties of an experimental political futures market
| Authors | Sun-Chong Wang, Sai-Ping Li, Chung-Ching Tai, Shu-Heng Chen |
|---|---|
| Categories | |
| ArXiv ID | physics/0503176 |
| URL | https://arxiv.org/abs/physics/0503176 |
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.
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"abstract": "A 24-hour exchange market was created on the Web to trade political futures\ncontracts using fictitious money. In this online market, a political futures\ncontract is a futures contract which matures on the election day with a\nliquidation price determined by the percentage of votes a candidate receives on\nthe election day. Continuous double auctions were implemented as the system for\norder storage and price discovery. We drew market participants in the form of\ntournaments in which top traders won cash awards. Such a market was run, with\nabout 400 registered traders, during the U.S. presidential election in November\n2004 and Taiwan parliamentary election in December 2004. The experiments\nrecorded transaction price, highest bid, lowest ask, and trading volume of each\ncontract as a function of time. Despite the relatively small scale of the\nexchange, in terms of the number of participants and duration of the\ntournament, we report evidence for asymptotic power-law behaviors of the\ndistributions of price returns, trading volumes, inter-transaction time\nintervals, and accumulated wealth that were found universal in real financial\nmarkets.",
"arxiv_id": "physics/0503176",
"authors": [
"Sun-Chong Wang",
"Sai-Ping Li",
"Chung-Ching Tai",
"Shu-Heng Chen"
],
"categories": [
"physics.soc-ph"
],
"title": "Statistical properties of an experimental political futures market",
"url": "https://arxiv.org/abs/physics/0503176"
},
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