The Paper reports a basic Experiment on the option pricing approach. Each trader with an increasing utility for money values the option with his arbitrage free price, which is independent of the probability of the stock movement. The experimental data show that the traiders learn to exploit more...

This paper reports an option pricing experiment on the binomial model, which has been conducted with professional traders of financial assets. The experimental results are compared to a corresponding experiment with students. The data show that professional traders achieve lower arbitrage...

Dieser Aufsatz beschreibt ein Optionsbewertungsexperiment zum Binomialmodell, das mit professionellen Tradern von Finanztiteln durchgeführt wurde. Die Ergebnisse dieses Experiments werden mit denen eines entsprechenden Versuchs mit Studenten verglichen. Es zeigt sich, daß die professionellen...

We report results of an internet experiment designed to test the theory of informational cascades in financial markets (Avery and Zemsky, AER, 1998). More than 6000 subjects, including a subsample of 267 consultants from an international consulting firm, participated in the experiment. As...

This paper derives necessary and sucient conditions for the existence of linear equilibria in the Rochet-Vila model of market making. In contrast to most previous work on the existence of linear equilibria in models of market making, we do not impose independence of the underlying random...

Easley / Kiefer / O'Hara / Paperman (1996) (EKOP) have proposed an empirical methodology that allows to estimate the probability of informed trading and that has subsequently been used to address a wide range of issues in market microstructure. The data needed for estimation is the number of...

We consider Kyle's market order model of insider trading with multiple informed traders and show: if a linear equilibrium exists for two different numbers of informed traders, asset payoff and noise trading are independent and have finite second moments, then these random variables are normally...

This note reconsiders divergent results on the extremal behaviour of German stock returns that have been published recently. In particular, recent investigations of this issue have arrived at different conclusions regarding the finiteness of the second moment of the return distributions. Here we...

The existence of a linear equilibrium in Kyle's model of market making with multiple, symmetrically informed strategic traders is implied for any number of strategic traders if the joint distribution of the underlying exogenous random variables is elliptical. The reverse implication has been...

We demonstrate that in a CAPM economy Walras Law and the Tobin Separation Property characterize market demand in finite sets of prices. Consequently, for any number n there exist CAPM economies which have at least n equilibria and hence have n different beta pricing fomulas. It is shown that the...