Learning from Unrealized versus Realized Prices

M. Kathleen Ngangoué and Georg Weizsäcker

American Economic Journal: Microeconomics, 2021, vol. 13, issue 2, 174-201

Abstract: Our experiments investigate the extent to which traders learn from the price, differentiating between situations where orders are submitted before versus after the price has realized. In simultaneous markets with bids that are conditional on the price, traders neglect the information conveyed by the hypothetical value of the price. In sequential markets where the price is known prior to the bid submission, traders react to price to an extent that is roughly consistent with the benchmark theory. The difference's robustness to a number of variations provides insights about the drivers of this effect.

JEL-codes: D44 D82 D84 G12 G14 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (10)

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Related works:
Working Paper: Learning From Unrealized versus Realized Prices (2018)
Working Paper: Learning from Unrealized versus Realized Prices (2015)
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DOI: 10.1257/mic.20180268

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