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Learning From Unrealized versus Realized Prices

M. Kathleen Ngangoue and Georg Weizsäcker
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M. Kathleen Ngangoue: New York University

No 66, Rationality and Competition Discussion Paper Series from CRC TRR 190 Rationality and Competition

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: D82 D81 C91 (search for similar items in EconPapers)
Date: 2018-01-18
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Working Paper: Learning from Unrealized versus Realized Prices (2015) Downloads
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