IDEAS home Printed from
MyIDEAS: Login to save this paper or follow this series

Decision Rules and their Influence on Asset Prices

  • Trifan, Emanuela
Registered author(s):

    This paper develops a market microstructure model with asymmetric information in order to quantify the influence which practical decision rules have on asset process. The users of practical decision rules have incomplete information at their disposal and trade in a market with both fully informed and uninformed investors, as well as with a competitive market maker. The users of practical decision rules affect the periodical ask and bid prices in two ways: by means of the precision of their information and through their share in the totality of investors, respectively. The resulting bid-ask spread is positive and proportional to the c.p. variation of these two influencing factors and is attributable to the adverse selection costs.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL:
    Our checks indicate that this address may not be valid because: 403 Forbidden ( [301 Moved Permanently]--> If this is indeed the case, please notify (Dekanatssekretariat)

    Download Restriction: no

    Paper provided by Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute of Economics (VWL) in its series Darmstadt Discussion Papers in Economics with number 37211.

    in new window

    Date of creation: Sep 2004
    Date of revision:
    Publication status: Published in Darmstadt Discussion Papers in Economics . 139 (2004-09)
    Handle: RePEc:dar:ddpeco:37211
    Note: for complete metadata visit
    Contact details of provider: Postal: Hochschulstr. 1, 64289 Darmstadt
    Phone: ++49 (0)6151 16-2701
    Fax: ++49 (0)6151 16-6508
    Web page:

    More information through EDIRC

    References listed on IDEAS
    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.:

    as in new window
    1. Neely, Christopher & Weller, Paul & Dittmar, Rob, 1997. "Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 32(04), pages 405-426, December.
    2. S. Baranzoni & P. Bianchi & L. Lambertini, 2000. "Market Structure," Working Papers 368, Dipartimento Scienze Economiche, Universita' di Bologna.
    3. Hanousek, Jan & Podpiera, Richard, 2003. "Informed trading and the bid-ask spread: evidence from an emerging market," Journal of Comparative Economics, Elsevier, vol. 31(2), pages 275-296, June.
    4. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
    5. David Easley & Soeren Hvidkjaer & Maureen O'Hara, 2002. "Is Information Risk a Determinant of Asset Returns?," Journal of Finance, American Finance Association, vol. 57(5), pages 2185-2221, October.
    6. Glosten, Lawrence R. & Harris, Lawrence E., 1988. "Estimating the components of the bid/ask spread," Journal of Financial Economics, Elsevier, vol. 21(1), pages 123-142, May.
    7. Thierry Foucault & Marianne Demarchi, 2000. "Equity Trading Systems in Europe: A Survey of Recent Changes," Post-Print hal-00459776, HAL.
    8. Easley, David, et al, 1996. " Liquidity, Information, and Infrequently Traded Stocks," Journal of Finance, American Finance Association, vol. 51(4), pages 1405-36, September.
    9. Taylor, Mark P. & Allen, Helen, 1992. "The use of technical analysis in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 11(3), pages 304-314, June.
    10. Madhavan, Ananth, 2000. "Market microstructure: A survey," Journal of Financial Markets, Elsevier, vol. 3(3), pages 205-258, August.
    11. Wang, Jiang, 1994. "A Model of Competitive Stock Trading Volume," Journal of Political Economy, University of Chicago Press, vol. 102(1), pages 127-68, February.
    12. Stoll, Hans R, 1989. " Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests," Journal of Finance, American Finance Association, vol. 44(1), pages 115-34, March.
    13. David Easley & Maureen O'hara, 2004. "Information and the Cost of Capital," Journal of Finance, American Finance Association, vol. 59(4), pages 1553-1583, 08.
    14. Treynor, Jack L & Ferguson, Robert, 1985. " In Defense of Technical Analysis," Journal of Finance, American Finance Association, vol. 40(3), pages 757-73, July.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:dar:ddpeco:37211. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dekanatssekretariat)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.