Agent-level determinants of price expectation formation in online double-sided auctions

Avci E., Bunn D., Ketter W., van Heck E.

DECISION SUPPORT SYSTEMS, cilt.124, 2019 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 124
  • Basım Tarihi: 2019
  • Doi Numarası: 10.1016/j.dss.2019.05.008
  • Dergi Adı: DECISION SUPPORT SYSTEMS
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Anahtar Kelimeler: Auctions, Rational expectations hypothesis, Agent informedness, Forward trading, Forecasting, Smart markets, INFORMATION-REVELATION POLICIES, SALES FORECASTING PRACTICES, MARKET-STRUCTURE, RATIONAL-EXPECTATIONS, FUTURES MARKETS, TRANSPARENCY, ELECTRICITY, TECHNOLOGY, MANAGEMENT, EFFICIENCY
  • Orta Doğu Teknik Üniversitesi Adresli: Hayır

Özet

For an auctioneer it is of utmost importance to design an auction mechanism that gives robust price signals which in turn increases auction performance. Information architecture and forward trading platforms are the two main information sources that could generate these price signals. However the traditional presumption that agents form rational expectations by accurately processing all available information in the online trading environment and forming their expectations accordingly has found mixed support. We develop a research model that empirically tests the impact of agent's attitudes on their price expectation through their trading behaviour. Using a unique data set, we tested our hypotheses on real ex ante forecasts, evaluated ex post, in an electricity day ahead auction context. This paper is one of the first to take an information-based view to study the trading behaviour of agents and their price expectations; with results that suggest a re-consideration of some of the conventional concepts.