Learning from Unrealized versus Realized Prices

Kathleen Ngangoué and Georg Weizsäcker

No 1487, Discussion Papers of DIW Berlin from DIW Berlin, German Institute for Economic Research

Abstract: Our market experiment investigates the extent to which traders learn from the price, differentiating between situations where orders are submitted before versus after the price has realized. When market participants have to submit their bids conditional on the price, they show a bias by reacting only to their private information and not to the hypothetical value of the price. In a sequential trading mechanism, where the price is known at the bid submission, bids react to price to an extent that is roughly consistent with the benchmark theory.

Keywords: Naive expectations; asymmetric information; rational expectations; sequential markets (search for similar items in EconPapers)
JEL-codes: C91 D81 D82 (search for similar items in EconPapers)
Pages: 30 p.
Date: 2015
New Economics Papers: this item is included in nep-com and nep-exp
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Citations: View citations in EconPapers (16)

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Related works:
Journal Article: Learning from Unrealized versus Realized Prices (2021)
Working Paper: Learning From Unrealized versus Realized Prices (2018)
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