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Limit-Order Submission Strategies under Asymmetric Information
Menkhoff, Lukas - 2013
This paper provides evidence that informed traders dominate the response of limit-order submissions to shocks in a pure limit-order market. In the market we study, informed traders are highly sensitive to spreads, volatility, momentum and depth. By contrast, uninformed traders are relatively...
Persistent link: https://www.econbiz.de/10013094725
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Dynamic Trading and Asset Prices : Keynes vs. Hayek
Cespa, Giovanni - 2011
predicting the fundamentals is a product of endogenous short-term speculation. For a given, positive level of residual payoff …
Persistent link: https://www.econbiz.de/10013134234
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Excessive Herding in the Laboratory : The Role of Intuitive Judgments
March, Christoph - 2018
actions that contradict their high quality signals they herd more extensively than predicted by Bayes-rational herding …-Bayesian updating and informational misinferences are the two channels that drive excessive herding, while the strong (resp. mild … observational learning accounts for the phenomenon of excessive herding, it captures well herd behavior with medium quality signals …
Persistent link: https://www.econbiz.de/10012924978
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Reputational Herding in Financial Markets : A Laboratory Experiment
Roider, Andreas - 2015
We study reputational herding in financial markets in a laboratory experiment. In the spirit of Dasgupta and Prat (2008 …
Persistent link: https://www.econbiz.de/10013029493
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When Inequality Matters for Macro and Macro Matters for Inequality
Ahn, SeHyoun - 2017
We develop an efficient and easy-to-use computational method for solving a wide class of general equilibrium heterogeneous agent models with aggregate shocks, together with an open source suite of codes that implement our algorithms in an easy-to-use toolbox. Our method extends standard...
Persistent link: https://www.econbiz.de/10012949333
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Log-Normal Approximation of the Equity Premium in the Production Model
Heer, Burkhard - 2011
The conditional equity premium in the model with production is often approximated by assuming a jointly log-normal distribution of the marginal rate of substitution in consumption and the marginal productivity of capital. We show that, for standard parameterization, this premium is about one...
Persistent link: https://www.econbiz.de/10013131345
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On the Equivalence of Location Choice Models : Conditional Logit, Nested Logit and Poisson
Schmidheiny, Kurt - 2009
It is well understood that the two most popular empirical models of location choice - conditional logit and Poisson - return identical coefficient estimates when the regressors are not individual specific. We show that these two models differ starkly in terms of their implied predictions. The...
Persistent link: https://www.econbiz.de/10013157652
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Estimation of Heterogeneous Agent Models : A Likelihood Approach
Parra-Alvarez, Juan Carlos - 2020
In this paper, we study the statistical properties of heterogeneous agent models with incomplete markets. Using a Bewley-Hugget-Aiyagari model we compute the equilibrium density function of wealth and show how it can be used for likelihood inference. We investigate the identifiability of the...
Persistent link: https://www.econbiz.de/10012853321
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Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts
Dovern, Jonas - 2018
Established tests for proper calibration of multivariate density forecasts based on Rosenblatt probability integral transforms can be manipulated by changing the order of variables in the forecasting model. We derive order invariant tests. The new tests are applicable to densities of arbitrary...
Persistent link: https://www.econbiz.de/10012916359
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Asset Pricing Implications of a New Keynesian Model : A Note
Heer, Burkhard - 2013
De Paoli, Scott, and Weeken (2010, Asset pricing implications of a New Keynesian model. Journal of Economic Dynamics and Control 34, 2056-73) study equity and bonds prices in a New Keynesian model with sticky nominal prices. This note argues that their model generates a behavior of the labor...
Persistent link: https://www.econbiz.de/10013089158