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Short-run arbitrage in crisis markets : experimental evidence

Sonsino, Doron; Shavit, Tal - In: Annals of financial economics 9 (2014) 1, pp. 1-60

Persistent link: https://www.econbiz.de/10010489148

Arbitrage bots in experimental asset markets

Angerer, Martin; Neugebauer, Tibor; Shachat, Jason M. - In: Journal of economic behavior & organization : JEBO 206 (2023), pp. 262-278

Persistent link: https://www.econbiz.de/10014247343

Arbitrage Bots in Experimental Asset Markets

Angerer, Martin; Neugebauer, Tibor; Shachat, Jason - 2022

-lived correlated assets we examine the impact of alternative types of arbitrage-seeking algorithms. These arbitrage robot traders vary … in their latency and whether they make or take market liquidity. All arbitrage robot traders we examine generate greater … conformity to the law-of-one-price across the twin markets. However, only the liquidity providing arbitrage robot trader moves …

Persistent link: https://www.econbiz.de/10013308153

Rate-of-return in experimental asset markets

Childs, Jason; Mestelman, Stuart - In: Review of international economics 14 (2006) 3, pp. 331-347

Persistent link: https://www.econbiz.de/10003348377

Robust Experimentation in the Continuous Time Bandit Problem

Pourbabaee, Farzad - 2020

We study the experimentation dynamics of a decision maker (DM) in a two-armed bandit setup (Bolton and Harris [1999]), where the agent holds ambiguous beliefs regarding the distribution of the return process of one arm and is certain about the other one. The DM entertains Multiplier preferences...

Persistent link: https://www.econbiz.de/10012852164

The Optimal Level of Experimentation

Moscarini, Giuseppe; Smith, Lones - 2012

We assume that an impatient decision maker (DM) runs variable-size experiments at an increasing, strictly convex cost before choosing an irreversible action. We introduce and solve a tractable continuous time version of this problem - a control of variance of a diffusion with uncertain mean....

Persistent link: https://www.econbiz.de/10014142706

Intertemporal Pricing in Laboratory Posted Offer Markets with Differential Information

Rustichini, Aldo; Villamil, Anne P. - 2001

This paper analyzes intertemporal seller pricing and buyer purchasing behavior in a laboratory retail market with differential information. A seller posts one price each period that a buyer either accepts or rejects. Trade occurs over a sequence of "market periods" with a random termination...

Persistent link: https://www.econbiz.de/10014148784

The Optimal Level of Experimentation

Moscarini, Giuseppe; Smith, Lones - 2012

We assume that an impatient decision maker (DM) runs variable-size experiments at an increasing, strictly convex cost before choosing an irreversible action. We introduce and solve a tractable continuous time version of this problem --- a control of variance of a diffusion with uncertain mean....

Persistent link: https://www.econbiz.de/10014060773

Optimal Experimentation in a Changing Environment

Keller, Godfrey; Rady, Sven - 1998

This paper studies optimal experimentation by a monopolist who faces an unknown demand curve subject to random changes, and who maximises profits over an infinite horizon in continuous time. We show that there are two qualitatively very different regimes, determined by the discount rate and the...

Persistent link: https://www.econbiz.de/10014072775

Expectations With Endogenous Information Acquisition : An Experimental Investigation

Fuster, Andreas - 2020

Information frictions play an important role in many theories of expectation formation. We use a survey experiment to generate direct evidence on how people select, acquire and process information. Participants can buy different information signals that could help them forecast future national...

Persistent link: https://www.econbiz.de/10012852024

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