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Reputational Herding in Financial Markets : A Laboratory Experiment

Roider, Andreas - 2015

We study reputational herding in financial markets in a laboratory experiment. In the spirit of Dasgupta and Prat (2008 …

Persistent link: https://www.econbiz.de/10013029493

Expectations, Illiquidity, and Short-Term Trading

Cespa, Giovanni; Vives, Xavier - 2021

We consider a two-period market with persistent liquidity trading and risk averse privately informed investors who have a one period horizon. With persistence, prices reflect average expectations about fundamentals and liquidity trading. Informed investors engage in “retrospective” learning...

Persistent link: https://www.econbiz.de/10013316042

Limit-Order Submission Strategies under Asymmetric Information

Menkhoff, Lukas - 2013

This paper provides evidence that informed traders dominate the response of limit-order submissions to shocks in a pure limit-order market. In the market we study, informed traders are highly sensitive to spreads, volatility, momentum and depth. By contrast, uninformed traders are relatively...

Persistent link: https://www.econbiz.de/10013094725

Exchange Rates Dynamics in a Target Zone - A Heterogeneous Expectations Approach

Bauer, Christian; De Grauwe, Paul; Reitz, Stefan - 2021

The target zone model of Krugman (1991) has failed empirically. In this paper, we develop a model of the exchange rate with heterogeneous agents in a free floating and a target zone regime. We show that this simple model mimics the empirical puzzles of exchange rates: excessive volatility, fat...

Persistent link: https://www.econbiz.de/10013316875

Bubbles in Hybrid Markets - How Expectations About Algorithmic Trading Affect Human Trading

Farjam, Mike - 2015

experiment to measure changes of human trading behavior if these humans expect algorithmic traders. To disentangle the direct …

Persistent link: https://www.econbiz.de/10013009851

Excessive Herding in the Laboratory : The Role of Intuitive Judgments

March, Christoph - 2018

-rational inferences, drive herd behavior. In Experiment 1, unobserved, whose actions remain private, learn from the public actions made in … actions that contradict their high quality signals they herd more extensively than predicted by Bayes-rational herding …-Bayesian updating and informational misinferences are the two channels that drive excessive herding, while the strong (resp. mild …

Persistent link: https://www.econbiz.de/10012924978

Dynamic Trading and Asset Prices : Keynes vs. Hayek

Cespa, Giovanni - 2011

We investigate the dynamics of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model with long-term investors. We argue that the fact that prices can score worse or better than consensus opinion in predicting the fundamentals is a product of...

Persistent link: https://www.econbiz.de/10013134234

More Effort with Less Pay : On Information Avoidance, Belief Design and Performance

Huck, Steffen - 2015

In a tedious real effort task, subjects know that their piece rate is either low or ten times higher. When subjects are informed about their piece rate realization, they adapt their performance. One third of subjects nevertheless forego this instrumental information when given the choice - and...

Persistent link: https://www.econbiz.de/10013012566

Public and Private Learning from Prices, Strategic Substitutability and Complementarity, and Equilibrium Multiplicity

Manzano Tovar, Carolina; Vives, Xavier - 2021

We study a general static noisy rational expectations model, where investors have private information about asset payoffs, with common and private components, and about their own exposure to an aggregate risk factor, and derive conditions for existence and uniqueness (or multiplicity) of...

Persistent link: https://www.econbiz.de/10013316183

Strategic Complementarity, Fragility, and Regulation

Vives, Xavier - 2013

The paper analyzes a very stylized model of crises and demonstrates how the degree of strategic complementarity in the actions of investors is a critical determinant of fragility. It is shown how the balance sheet composition of a financial intermediary, parameters of the information structure...

Persistent link: https://www.econbiz.de/10013092690