Trading strategies and trading profits in experimental asset markets with cumulative information
AbstractWe study the use of trading strategies and their profitability in experimental asset markets with asymmetrically informed traders. We find that insiders make most of their profits from trades which are initiated by their limit orders -- especially at the beginning of a period and when the change in their fundamental information is large. The average informed lose most with market orders and their losses are highest at the beginning of a period when they can be exploited by insiders. Uninformed traders act as liquidity providers. They place the highest number of limit orders and end up with the market return.
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Bibliographic InfoPaper provided by Faculty of Economics and Statistics, University of Innsbruck in its series Working Papers with number 2010-09.
Date of creation: Apr 2010
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More information through EDIRC
Asymmetric information; liquidity; trading strategies; limit order markets; experiment;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- D03 - Microeconomics - - General - - - Behavioral Microeconomics; Underlying Principles
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-04-24 (All new papers)
- NEP-CTA-2010-04-24 (Contract Theory & Applications)
- NEP-EXP-2010-04-24 (Experimental Economics)
- NEP-MST-2010-04-24 (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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