We present results from an experiment where participants have access to a set of robots (automated trading algorithms), which they may deploy, launch, halt and replace at will, while still trading manually. We hypothesize that mispricing would be reduced. Yet, we observe equally large and...

Many real-world markets are competitive only in smalls, taken to mean that price taking applies only to small orders. Starting from this observation, a theory of equilibration is derived where orders are optimal merely in a local sense. Prices are assumed to adjust in the direction of the order...

We present experimental evidence that security prices do not respond to pressure from their own excess demand, unlike traditionally assumed in economic theory. Instead, prices respond to excess demand of all securities, despite the absence of a direct link between markets. We propose a model of...

Statistical model selection criteria provide an informed choice of the model with best external (i.e., out-of-sample) validity. Therefore, they guard against overfitting (quot;data snoopingquot;). We implement several model selection criteria in order to verify recent evidence of predictability...

An alternative explanation is suggested for the erratic behavior of otherwise significant z-statistics in tests of the profitability of simple trading strategies. It is not attributed to time-varying risk premia, but, instead, to a failure of the distributional theory in inefficient markets. In...

We study the Efficient Markets Hypothesis (EMH) in a setting where information heterogeneity emerges because securities valuation requires solving an NP-hard problem. We demonstrate experimentally that the quality of prices deteriorates substantially as computational complexity increases....

This study tests the rationality of the decisions to purchase information, the informational efficiency of prices, and the optimality of the resulting allocations with a series of laboratory experiments in decentralized markets. The theory predicts that markets with dispersed information and...

The non-medical use of pharmaceuticals such as methylphenidate and modafinil for cognitive enhancement has been explored in college students, medical students and various professions in the US and Europe. We present results of an anonymous online survey of such use among members of the...

The excessive volatility of prices in financial markets is one of the most pressing puzzles in social science. It has led many to question economic theory, which attributes beneficial effects to markets in the allocation of risks and the aggregation of information. In exploring its causes, we...

Financial decision making under time pressure, though ubiquitous, is poorly understood; classical and behavioral finance are silent about the time required for a decision to be made. In an experiment, calibrating allowable decision times to 1, 3, and 5 s, we find that classical moment-based...