Economics at your fingertips  

Market Microstructure During Financial Crisis: Dynamics of Informed and Heuristic-Driven Trading

Mihály Ormos () and Dusan Timotity

Papers from

Abstract: We implement a market microstructure model including informed, uninformed and heuristic-driven investors, which latter behave in line with loss-aversion and mental accounting. We show that the probability of informed trading (PIN) varies significantly during 2008. In contrast, the probability of heuristic-driven trading (PH) remains constant both before and after the collapse of Lehman Brothers. Cross-sectional analysis yields that, unlike PIN, PH is not sensitive to size and volume effects. We show that heuristic-driven traders are universally present in all market segments and their presence is constant over time. Furthermore, we find that heuristic-driven investors and informed traders are disjoint sets.

New Economics Papers: this item is included in nep-mst
Date: 2016-06
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (4) Track citations by RSS feed

Downloads: (external link) Latest version (application/pdf)

Related works:
Journal Article: Market microstructure during financial crisis: Dynamics of informed and heuristic-driven trading (2016) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this paper

More papers in Papers from
Series data maintained by arXiv administrators ().

Page updated 2018-03-25
Handle: RePEc:arx:papers:1606.03590