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Price Discovery in Emissions Permit Auctions

Burtraw, Dallas - 2014

Auctions are increasingly being used to allocate emissions allowances (“permits”) for cap and trade and common-pool resource management programs. These auctions create thick markets that can provide important information about changes in current market conditions. This paper reports a...

Persistent link: https://www.econbiz.de/10013069758

Call Market Experiments : Efficiency and Price Discovery Through Multiple Calls and Emergent Newton Adjustments

Plott, Charles - 2017

We study multiple-unit, laboratory experimental call markets in which orders are cleared by a single price at a scheduled "call." The markets are independent trading "days" with two calls each day preceded by a continuous and public order flow. Markets approach the competitive equilibrium over...

Persistent link: https://www.econbiz.de/10012971806

Do REITs outperform stocks and fixed-income assets? : new evidence from mean-variance and stochastic dominance approaches

Chiang, Thomas C.; Hooi Hooi Lean; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 1 (2008) 1, pp. 1-40

This paper re-examines the performance of REITs, stocks, and fixed-income assets based on the preferences of risk …-averse and risk-seeking investors using mean-variance and stochastic dominance approaches. Our findings indicate no first … order to maximize their expected utility, the risk-averse prefer fixed-income assets over real estate, which, in turn, is …

Persistent link: https://www.econbiz.de/10011556251

Market Transparency and Call Markets

Oehler, Andreas; Unser, Matthias - 1998

This paper reports the results of 16 experimental asset markets that explore the effects of trade transparency on the price formation process and its results using a more realistic design than related studies. The open orderbook does not improve informational efficiency and does not result in...

Persistent link: https://www.econbiz.de/10010296583

Discovering the best: Informational efficiency and liquidity of alternative trading mechanisms in experimental asset markets

Oehler, Andreas; Heilmann, Klaus; Läger, Volker - 2001

This paper reports the results of 18 experimental asset markets with 262 subjects that explore the effects of liquidity and aggregation of information. The main focus lies on the comparison of different trading mechanisms of stock exchanges. Compared to most of financial markets experiments,...

Persistent link: https://www.econbiz.de/10010296586

The quality of price formation at market openings and closings: Evidence from the Nasdaq stock market

Pagano, Michael S.; Peng, Lin; Schwartz, Robert A. - 2008

We assess the quality of opening and closing prices for Nasdaq stocks by examining the effect that opening and closing call auctions (introduced in 2004) have had on price formation. Our use of measurement intervals of one minute or less sharpens the picture of intra-day volatility...

Persistent link: https://www.econbiz.de/10010303693

Do Insiders Contribute to Market Efficiency? Informational Efficiency and Liquidity of Experimental Call Markets with and without Insiders

Oehler, Andreas; Heilmann, Klaus; Läger, Volker - 2000

This paper reports the results of 13 experimental asset markets with 195 subjects that explore the effects of insider behavior on the price formation process and market liquidity. The experimental call markets use a more realistic design than related studies. We introduce infinitely-lived assets...

Persistent link: https://www.econbiz.de/10010332635

Price Dynamics on a Stock Market with Asymmetric Information

De Meyer, Bernard - 2007

The appearance of a Brownian term in the price dynamics on a stock market was interpreted in [De Meyer, Moussa-Saley (2003)] as a consequence of the informational asymmetries between agents. To take benefit of their private information without revealing it to fast, the informed agents have to...

Persistent link: https://www.econbiz.de/10014052529

From Analytical Markets to Artiﬁcial Stock Markets : A New Type of Agent-Based Models

Kalimullina, Lina - 2017

We create an artiﬁcial stock market (ASM) which mimics results of the analytical game theory model. By showing the convergence of simulated results to analytical, we assess the created ASM as a powerful tool for further research of more sophisticated market compositions and set-ups, allowing...

Persistent link: https://www.econbiz.de/10012946529

Fragmentation Under High Frequency Trading : Theory and Evidence

Higashi, Kazuyuki - 2018

I investigate the fragmentation under high frequency trading (HFT) popularity. I make a toy model of security exchange market competition. With the friction like the Bertrand competition with differentiated goods, the effect of the number of venues on bid ask spread depends on the business...

Persistent link: https://www.econbiz.de/10012914046