This paper demonstrates that fat-tailed distributions of trading volume and stock price emerge in a model of information aggregation. I consider a simultaneous-move model of traders who infer other traders’ private information on the value of assets by observing aggregate actions. Without parametric assumptions on the private information, I show that the traders’ aggregate actions follow a powe...

Prediction markets are low volume speculative markets whose prices offer informative forecasts on particular policy topics. Observers worry that traders may attempt to mislead decision makers by manipulating prices. We adapt a Kyle-style market microstructure model to this case, adding a manipulator with an additional quadratic preference regarding the price. In this model, when other traders a...

We conducted human-subject market experiments to check the effects of charging different types of market fees on human trader’s market selection behavior across multiple markets. In alignment with previous findings using software trading agents, a market charging lump-sum registration fees attracted intramarginal or high-value human traders, while, extra-marginal traders, or low-value traders, ...

In this paper, we model a specialist call market. Liquidity traders and a strategic informed trader submit market orders. Strategic value traders compete with the specialist through the limit order book. Noise is introduced into the book through the number of value traders. We compare an equilibrium in an open limit order book environment with an equilibrium in a closed limit order book environ...