Objective: The aim of this study is to model arrival process of informed and uninformed traders into Tehran Stock Exchange (TSE) as well as to assess the interaction between two types of traders which is an important yet neglected topic. Methods: In this study, a sequential trade model was estimated based on trading data of 33 stocks belonging to 11 industries of TSE during the period from 201...

We introduce naive traders in bilateral trading. These traders report their true types in direct mechanisms and bid/ask their values/costs in auctions. We show that by expropriating naive traders in direct mechanisms, the mechanism designer can subsidize additional trades by strategic traders and improve efficiency ex-post compared to when both traders are surely strategic. In fact, complete ex...

The literature views aggressive trading behavior as the key for representativeness heuristic traders to survive in competition with rational traders. This paper provides another reason. That is, in this dynamic model of a competitive securities market, representativeness heuristic traders can derive more expected profit from the misvaluations (created by noise traders) than can rational traders...

In this chapter, we conduct a comparative study of various traders following different trading strategies. We design an agent-based artificial stock market consisting of two opposing types of traders: “rational traders” (or “fundamentalists”) and “imitators” (or “chartists”). Rational traders trade by trying to optimize their short-term income. On the other hand, imitators trade by copying the ...

An explanation is provided for the evolution of segmented marketplaces in a pairwise exchange economy. Large traders operating in a pairwise exchange market prefer to meet other similar traders, because this enables them to trade their endowments in a smaller number of encounters. Large and small traders, however, cannot be distinguished a priori, and the existence of the small traders imposes ...

Abstract Investing on behalf of a firm, trader can feign personal skill by committing fraud that with high probability remains undetected and generates small gains, but low bankrupts the offsetting ostensible gains. Honesty requires enough skin in game : if two traders isoelastic preferences operate continuous time one them is honest, other honest as long respective fraction capital above an en...

Traders that operate in markets with multiple competing marketplaces can use learning to choose in which marketplace they will trade, and how much they will shout in that marketplace. If traders are able to share information with each other about their shout price and market choice over a social network, they can trend towards the market equilibrium more quickly, leading to higher profits for i...