It is hard to beat the Monkeys - On the Value of Asymmetric Fundamental Information in Asset Markets
AbstractIn this paper we present results from experimental asset markets and simulations with traders who receive asymmetric information about the fundamental value of an asset. In the experimental markets with repetition insiders outperform the market and uninformed computerized random traders (monkeys) perform equally well compared to average informed traders. This is in line with the results of the equilibrium simulation output in which traders choose between a random strategy and their fundamental strategy. We further find that pattern of average informed not being able to beat the uninformed is not due to their overconfidence but due to the asymmetric information structure of the market.
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Bibliographic InfoPaper provided by Faculty of Economics and Statistics, University of Innsbruck in its series Working Papers with number 2008-19.
Date of creation: 2008
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More information through EDIRC
Information economics; experimental economics; agent-based model; overconfidence; value of information;
Find related papers by JEL classification:
- C91 - Mathematical and Quantitative Methods - - Design of Experiments - - - Laboratory, Individual Behavior
- C92 - Mathematical and Quantitative Methods - - Design of Experiments - - - Laboratory, Group Behavior
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-09-20 (All new papers)
- NEP-CMP-2008-09-20 (Computational Economics)
- NEP-CTA-2008-09-20 (Contract Theory & Applications)
- NEP-EXP-2008-09-20 (Experimental Economics)
- NEP-MST-2008-09-20 (Market Microstructure)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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