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)...

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)...

This paper studies the impact of size-discovery trading protocols on allocative efficiency in markets with discrete trading. I use a dynamic-discrete-trading model with imperfect competition that sequentially offers a size or price-discovery trading session. The frequency at which trade occurs...

We study the consequences of high-frequency trading (HFT) — and potential policy responses — via the tradeoff between liquidity and information production. Faster speeds facilitate HFT with consequences for this tradeoff: information production diminishes because informed traders have less...

This article develops an agent-based model of security market pricing process, capable to capture main stylised facts. It features collective market pricing mechanisms based upon evolving heterogeneous expectations that incorporate signals of security issuer fundamental performance over time....

In over-the-counter markets, the presence of two frictions is central to determine prices, liquidity, and efficiency: the search friction reflected in how long it takes to find a trading opportunity and the bargaining friction reflected in how promptly gains from trade are realized once the...