The effects of two behavioral decision making biases are evaluated within the context of a system dynamics model of a market for a commodity, overconfidence and availability. Overconfidence is modeled as an increase in the percent of a trader’s capital they are willing to commit to any trade and is found to have the effect of increasing profits for traders with good information relative to trad...

We develop a dynamic model of an order-driven market populated by discretionary liquidity traders. These traders must trade, yet can choose the type of order and are fully strategic in their decision. Traders di®er by their impatience: less patient traders demand liquidity, more patient traders provide it. Three equilibrium patterns are obtained the pattern is determined by three parameters: th...

High-valued traders, or intra-marginal traders, can give a market higher transaction rates and generate more profit both for the traders and for the market maker. In previous CAT tournaments with competing market specialists, and in accordance with economic theory, markets using registration fee policies attract intra-marginal traders and drive out extra-marginal traders. We build a simple trad...

Not long ago securities were traded by human traders in face-to-face markets. The ecosystem of an open outcry market was well-known, visible to a human eye, and rigidly prescribed. Now trading is increasingly done in anonymous electronic markets where traders do not have designated functions or mandatory roles. In fact, the traders themselves have been replaced by algorithms (machines) operatin...

Prior research demonstrates that investors respond differently to earnings surprises that are part of a string of consecutive earnings increases or surprises than to those that are not. To shed light on who values these patterns, I compare trading responses of small and large traders to earnings surprises that occur during a series of positive or negative surprises. I find that the relative int...

We show the existence of a Cournot-Nash equilibrium in pure strategies with trade in a model of noncooperative exchange with some large traders and many small traders in which traders are allowed to buy and sell each commodity. Moreover, we show, by an example, that, even with identical large traders of equal measure, our model yields Cournot-Nash equilibrium allocations which are not Walrasian...

The recent experimental results of Plott and Sunder (1982) and Friedman, Harrison and Salmon (1983) on the ability of single commodity markets to "reveal" the underlying state to initially uninformed traders were potentially influenced by a design in which the set of informed traders was held constant throughout the life of the market. Hence the performance of uninformed traders in the market m...

We investigate the strategic order-splitting behavior and order aggressiveness of different types of traders using a unique dataset on the Taiwan Futures Exchange. By examining the trades and orders for each and every account, we find that, as compared to domestic institutional traders and individual traders, foreign institutional traders and futures proprietary firms are more likely to split t...