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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

Expectations, Illiquidity, and Short-Term Trading

Cespa, Giovanni; Vives, Xavier - 2021

We consider a two-period market with persistent liquidity trading and risk averse privately informed investors who have a one period horizon. With persistence, prices reflect average expectations about fundamentals and liquidity trading. Informed investors engage in “retrospective” learning...

Persistent link: https://www.econbiz.de/10013316042

Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market

Caporale, Guglielmo Maria - 2013

Using high-frequency transaction data for the three largest European markets (France, Germany and Italy), this paper documents the existence of an asymmetric relationship between market liquidity and trading imbalances: when quoted spreads rise (fall) and liquidity falls (increases) buy (sell)...

Persistent link: https://www.econbiz.de/10013094028

Asset Auctions, Information, and Liquidity

Vives, Xavier - 2021

A model is presented of a uniform price auction where bidders compete in demand schedules; the model allows for common and private values in the absence of exogenous noise. It is shown how private information yields more market power than the levels seen with full information. Results obtained...

Persistent link: https://www.econbiz.de/10013316270

Strategic Complementarity, Fragility, and Regulation

Vives, Xavier - 2013

The paper analyzes a very stylized model of crises and demonstrates how the degree of strategic complementarity in the actions of investors is a critical determinant of fragility. It is shown how the balance sheet composition of a financial intermediary, parameters of the information structure...

Persistent link: https://www.econbiz.de/10013092690

Bubbles in Hybrid Markets - How Expectations About Algorithmic Trading Affect Human Trading

Farjam, Mike - 2015

Bubbles are omnipresent in lab experiments with asset markets. Most of these experiments were conducted in environments with only human traders. Today markets are substantially determined by algorithmic traders. Here we use a laboratory experiment to measure changes of human trading behavior if...

Persistent link: https://www.econbiz.de/10013009851

Exchange Rates Dynamics in a Target Zone - A Heterogeneous Expectations Approach

Bauer, Christian; De Grauwe, Paul; Reitz, Stefan - 2021

The target zone model of Krugman (1991) has failed empirically. In this paper, we develop a model of the exchange rate with heterogeneous agents in a free floating and a target zone regime. We show that this simple model mimics the empirical puzzles of exchange rates: excessive volatility, fat...

Persistent link: https://www.econbiz.de/10013316875

Illiquidity and Under-Valuation of Firms

Gale, Douglas - 2012

We study a competitive model in which market incompleteness implies that debt-financed firms may default in some states of nature and default may lead to the sale of the firms' assets at fire sale prices when markets are illiquid. This incompleteness is the only friction in the model and the...

Persistent link: https://www.econbiz.de/10013116475

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

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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