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Trading strategies and trading profits in experimental asset markets with cumulative information

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  • Thomas Stöckl
  • Michael Kirchler

Abstract

We 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.

Suggested Citation

  • Thomas Stöckl & Michael Kirchler, 2010. "Trading strategies and trading profits in experimental asset markets with cumulative information," Working Papers 2010-09, Faculty of Economics and Statistics, Universität Innsbruck.
    • Handle: RePEc:inn:wpaper:2010-09
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    References listed on IDEAS

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    Cited by:

    1. Kirchler, Michael, 2010. "Partial knowledge is a dangerous thing - On the value of asymmetric fundamental information in asset markets," Journal of Economic Psychology, Elsevier, vol. 31(4), pages 643-658, August.

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    More about this item

    Keywords

    Asymmetric information; liquidity; trading strategies; limit order markets; experiment;
    All these keywords.

    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

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