Arbitrage Bots in Experimental Asset Markets
نویسندگان
چکیده
منابع مشابه
Equilibrium and arbitrage in incomplete asset markets with fixed prices
At arbitrary prices of commodities and assets, fix-price equilibria exist under weak assumptions: endowments need not satisfy an interiority condition, utility functions need only satisfy a very weak monotonicity requirement, and the asset return matrix allows for redundant assets. Prices of assets may permit arbitrage. At equilibrium, though restricted through endogenously determined trading c...
متن کاملExact Arbitrage and Portfolio Analysis in Large Asset Markets
We provide a detailed portfolio analysis for a nancial market with an atomless continuum of assets. In the context of an exact arbitrage pricing theory (EAPT), we go beyond the characterization of the existence of important portfolios (normalized riskless, mean, cost, factor and mean-variance eÆcient portfolios) to furnish exact portfolio compositions in terms of explicit portfolio weights. Suc...
متن کاملDynamically Complete Experimental Asset Markets
We design an experiment to compare investors’ final wealth distribution in a static setup and an equivalent dynamic setup. In the static setup investors can trade all risks since there are as many securities as states of the world. In the dynamic market there are too few securities for investors to achieve efficient final wealth holdings without re-trade. Information disclosure and the possibil...
متن کاملIndividual Trader Behavior in Experimental Asset Markets
I investigate the behavior of individual investors in an experimental asset market that features a bubble. Subjects trade a risky asset at prices that do not change in response to their trades. The prices are taken from the outcome of a previous asset market experiment. This unique setup makes it possible to identify behavioral di¤erences between subjects who understand asset fundamentals and t...
متن کاملPrices in Experimental Asset Markets under Uncertainty
This paper presents an experiment which investigates whether asset prices are affected in markets where state probabilities are not exactly known and traders have to form subjective probabilities of payoffs. Results show that the presence of vague probabilities leads to higher average prices with respect to assets characterised by known probabilities. However, prices under known and vague proba...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Social Science Research Network
سال: 2022
ISSN: ['1556-5068']
DOI: https://doi.org/10.2139/ssrn.4010055