Replication data for: Call Market Experiments: Efficiency and Price Discovery through Multiple Calls and Emergent Newton Adjustments

We study multiple-unit, laboratory experimental call markets in which orders are cleared by a single price at a scheduled "call." The markets are independent trading "days" with two calls each day preceded by a continuous and public order flow. Markets approach the competitive equilibrium over time. The price formation dynamics operate through the flow of bids and asks configured as the "jaws" of the order book with contract execution featuring elements of an underlying mathematical principle, the Newton-Raphson method for solving systems of equations. Both excess demand and its slope play a systematic role in call market price discovery.

本研究针对多单元实验室实验集合竞价市场（call market）展开分析，此类市场会在预设的“竞价回合”中以单一价格完成全部订单的撮合。该类市场以独立的交易“交易日”为运行单元，每个交易日设置两次竞价回合，且两次竞价前均存在一段连续且公开的订单流。随着交易时长的推进，市场会逐步收敛至竞争性均衡（competitive equilibrium）。其价格形成动态机制通过配置为订单簿（order book）“颌状形态”的买盘与卖盘流发挥作用，而合约执行过程蕴含了求解方程组的底层数学原理——牛顿-拉夫逊方法（Newton-Raphson method）。超额需求（excess demand）及其斜率均在集合竞价市场的价格发现过程中起到系统性作用。