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We consider the general problem of a set of agents trading a portfolio of assets in the presence of transient price impact and additional quadratic transaction costs and we study, with analytical and numerical methods, the resulting Nash equilibria. Extending significantly the framework of...
Persistent link: https://www.econbiz.de/10012837608
This paper attempts to develop a theory of statistical equilibrium based on an entropy-constrained framework, that …
Persistent link: https://www.econbiz.de/10013210881
We investigate the formation of market prices in a new experimental setting involving multi-period call-auction asset markets with state-dependent fundamentals. We are particularly interested in two informational aspects: (1) the role of traders who are informed about the true state and/or (2)...
Persistent link: https://www.econbiz.de/10010353591
We investigate the formation of market prices in a new experimental setting involving multi-period call-auction asset markets with state-dependent fundamentals. We are particularly interested in two informational aspects: (1) the role of traders who are informed about the true state and/or (2)...
Persistent link: https://www.econbiz.de/10010429127
To study coordination in complex social systems such as financial markets, the authors introduce a new prediction market set -up that accounts for fundamental uncertainty. Nonetheless, the market is designed so that its total value is known, and thus its rationality can be evaluated. In two...
Persistent link: https://www.econbiz.de/10012001782
To study coordination in complex social systems such as financial markets, the authors introduce a new prediction market set-up that accounts for fundamental uncertainty. Nonetheless, the market is designed so that its total value is known, and thus its rationality can be evaluated. In two...
Persistent link: https://www.econbiz.de/10012231540
microeconomic theory classes at Indiana University. Students could access the market software at a time of their own choosing and as …
Persistent link: https://www.econbiz.de/10014023618
Persistent link: https://www.econbiz.de/10009244407
We study price efficiency and trading behavior in laboratory limit order markets with asymmetrically informed traders. Markets differ in the number of insiders present and in the subset of traders who receive information about the number of insiders present. We observe that price efficiency (i)...
Persistent link: https://www.econbiz.de/10009744178
Persistent link: https://www.econbiz.de/10010411216