We implement a market microstructure model including informed, uninformed and heuristic- driven investors, which latter behave in line with loss-aversion and mental accounting. We show that the probability of informed trading (PIN) varies significantly during 2008. In contrast, the probability...

We investigate multi-period investments where the initial capital and its gains are reinvested after each trading period. We point out that holding higher return investments even in the long run can be disadvantageous since, if the mean of a risky investment does not exceed the variance...