We experimentally explore how common knowledge provided by accounting systems affects investors' decision and shapes the formation of security prices over time. We design alternative accounting structures and run experiments in artificial security markets framed by these structures. In sessions...

What impact does a finance education have on the social preferences and the resulting behaviors of individuals? Experiments of a free riding game are conducted where a wealth-creating investment decision is made. The contribution benefits the group, but the incentives are such that an...

Under the background of the electronic security trading platform Xetra operated by Frankfurt Stock Exchange, we consider the Xetra auction market system (XAMS) from 'bottom-up', which the interaction among heterogeneous traders and Xetra auction market mechanism generates non-equilibrium price...

This note presents the Blender, a concept that was developed at Unigestion by the Quantitative Research Hedge Fund Team. In the context of portfolio optimization we propose Blended portfolios as an alternative to efficient portfolios.Albeit Blended portfolios are sub-optimal in the mean-variance...

Interest in prediction markets has increased in the last decade, driven in part by the hope that these markets will prove to be valuable tools in forecasting, decision-making and risk management -- in both the public and private sectors. This paper outlines five open questions in the literature,...

The use of equilibrium models in economics springs from the desire for parsimonious models of economic phenomena that take human reasoning into account. This approach has been the cornerstone of modern economic theory. We explain why this is so, extolling the virtues of equilibrium theory; then...

Empirical research documents that temporary trends in stock price movements exist, so that riding a trend can be a profitable investment strategy. In this paper, we provide a thorough test of the trend recognition and forecasting ability of financial professionals who work in the trading room of...

Documented results indicate prediction markets effectively aggregate information and form accurate predictions. This has led to a proliferation of markets predicting everything from the results of elections to a company's sales to movie box office receipts. Recent research suggests prediction...

The field experimental approach was utilized to collect expectations-arbitrage portfolios from competent investors in late 2008 where stock prices shrunk by 50%. Positions were closed after 3 months and the 4-factor model was applied to characterize strategies and derive risk-adjusted returns....

Empirical research documents that temporary trends in stock price movements exist so that riding a trend can be a profitable investment strategy. In this paper, we provide a thorough test of the trend recognition and forecasting ability of financial professionals who work in the trading room of...