There are two well-studied timing games in economics: In a War of Attrition, having more predecessors helps; in a Pre-emption Game, more predecessors hurts. This paper introduces and explores a rich new spanning class of timing games with _rank-order payoffs_ that subsumes both timing games as...

type="main" <title type="main">ABSTRACT</title> <p>Facing increased competition over the last decade, many stock exchanges changed their trading fees to maker-taker pricing, an incentive scheme that rewards liquidity suppliers and charges liquidity demanders. Using a change in trading fees on the Toronto Stock Exchange, we...</p>

In a dynamic model of financial market trading multiple heterogeneously informed traders choose when to place orders. Better informed traders trade immediately, worse informed delay – even though they expect the market to move against them. This behavior generates intraday patterns with...

Investment banks legally pursue supposedly price stabilising activities in the aftermarket of IPOs. We model the offering procedure as a signalling game and analyse how the possibility of potentially profitable trading in the aftermarket influences the investment bank's pricing decision. Banks...

While herding has long been suspected to play a role in financial market booms and busts, theoretical analyses have struggled to identify conclusive causes for the effect. Recent theoretical work shows that informational herding is possible in a market with efficient asset prices if information...

This paper addresses three empirical findings of the literature on initial public offerings. (i) Why do investment banks earn positive profits in a competitive market? (ii) Why do banks receive lower gross spreads in venture capitalist (VC) backed than in non-VC backed IPOs? (iii) Why is...

We develop a financial market trading model in the tradition of Glosten and Milgrom (1985) that allows us to incorporate nontrivial volume. We observe that in this model price volatility is positively related to the trading volume and to the absolute value of the net order flow (i.e., the order...

Herding and contrarian behaviour are often-cited features of real-world financial markets. Theoretical models of continuous trading that study herding and contrarianism, however, usually do not allow traders to choose when to trade or to trade more than once. We present a large-scale experiment...