This paper examines the driver of the 52-week high strategy, which is long in stocks close to their 52-week high price and short in stocks with a price far below their one-year high, and tests the hypothesis that this strategy's profitability can be explained by anchoring - a behavioral bias. To...

This study shows that uncertainty about information does not strengthen momentum. If the behavioral models hold, and if uncertainty about information causes high-volatility momentum strategies to outperform low-volatility strategies, then this relation must hold on a relative level. Momentum...

Psychological research suggests that individuals are satisficiers. That is, when confronted with a large number of options, individuals often choose the first acceptable option, rather than the best possible option (Simon 1957). Given the vast quantity of information available and the widespread...

This paper proposes the Shannon entropy as an appropriate one-dimensional measure of behavioural trading patterns in financial markets. The concept is applied to the illustrative example of algorithmic vs. non-algorithmic trading and empirical data from Deutsche Börse's electronic cash equity...