An inverse framework uses quantile-normalized orderbook data and machine learning models to predict allocative efficiency in double auctions from bids, asks, and prices without knowing induced values.
Incentive efficiency of double auctions.Econometrica, 53(5): 1101–1115, 1985
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An `Inverse' Experimental Framework to Estimate Market Efficiency
An inverse framework uses quantile-normalized orderbook data and machine learning models to predict allocative efficiency in double auctions from bids, asks, and prices without knowing induced values.