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Informational asymmetries in laboratory asset markets with state-dependent fundamentals
Keser, Claudia; Markstädter, Andreas - 2014
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
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Informational asymmetries in laboratory asset markets with state-dependent fundamentals
Keser, Claudia; Markstädter, Andreas - 2014 - This version: September 25, 2014
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
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Limit Order Markets under Asymmetric Information
Bhattacharya, Ayan - 2020
We develop a model of dynamic limit order markets under asymmetric information that can be simplified enough to be solved analytically. We find that informed traders tend to “make” liquidity in illiquid markets and “take” liquidity from more liquid markets. Time between arrivals of limit...
Persistent link: https://www.econbiz.de/10012823680
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Liquidity and Private Information in Asset Markets : To Signal or Not to Signal
Wang, Zijian - 2021
This paper examines how multidimensional private information by asset sellers affects market equilibrium. I find that when asset quality is the only source of private information, sellers with high-quality assets signal their quality to buyers through partial retention of assets if and only if...
Persistent link: https://www.econbiz.de/10013246450
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Market Microstructure and the Risks of High-Frequency Trading
Aldridge, Irene - 2013
market manipulation, the highest volatility and probability of market crashes, yet the highest liquidity. The so … detect spoofing market manipulation, lower volatility and probability of market crashes, but lower liquidity levels. Finally …
Persistent link: https://www.econbiz.de/10013079007
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High frequency trading and fragility
Cespa, Giovanni; Vives, Xavier - 2017
We show that limited dealer participation in the market, coupled with an informational friction resulting from high frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity consumption decisions: traders demand more liquidity...
Persistent link: https://www.econbiz.de/10011637013
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The Information Risk Drivers - 15 Years of Analysis to Support a Risk Premia Modelling
Mantovani, Guido Max - 2012
Information risk is an endogenous element of the market dynamics that can be independent from contingent levels of market efficiency. Being structural, it may require to be remunerated by a specific risk premia or by returns from specific portfolio strategies. Drivers of information risk are...
Persistent link: https://www.econbiz.de/10013116526
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On High Frequency Dynamics between Information Asymmetry and Volatility for Securities
Paparizos, Panos - 2017
This paper investigates the relationship between the volatility of Volume Synchronized Probability of Informed Trading … (VPIN) and future short-term volatility of stock returns. We construct a transaction-signed version of VPIN (TR-VPIN) based … results show a positive and statistically significant correlation between the volatility of TR-VPIN and future short …
Persistent link: https://www.econbiz.de/10012970369
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Informational Price Cascades and Non-Aggregation of Asymmetric Information in Experimental Asset Markets
Shachat, Jason - 2011
We report on experimental markets for a contingent claim asset that eight subjects traded for nine periods before the state was revealed. There is an informative binary signal that arrives after each of the first eight trading rounds. In our baseline treatment the realization of the signal is...
Persistent link: https://www.econbiz.de/10013126895
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Informational asymmetries in laboratory asset markets with state-dependent fundamentals : conference paper
Keser, Claudia; Markstädter, Andreas - 2014
We investigate the formation of market prices in a new experimental setting involving multi-period 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 (2) the provision of...
Persistent link: https://www.econbiz.de/10010483895