On the microstructure of price determination and information aggregation with sequential and asymmetric information arrival in an experimental asset market View Full Text


Ontology type: schema:ScholarlyArticle      Open Access: True


Article Info

DATE

2005-01

AUTHORS

Martin Barner, Francesco Feri, Charles R. Plott

ABSTRACT

Summary.Experiments were conducted on an asset with the structure of an option. The information of any individual is limited, as if only the direction of movement of the option value known for a single period without information of the value from when movement was initiated. However, if all information of all insiders were pooled, the value of the option would be known with certainty. The results are the following: (1) Information becomes aggregated in the prices as if fully informative rational expectations operated; and (2) The mechanism through which information gets into the market is captured by a path dependent process that we term ‘‘The Fundamental Coordination Principle of Information Transfer in Competitive Markets’’. The early contracts tend to be initiated by insiders who tender limit orders. The emergence of bubbles and mirages in the markets are coincident with failures and circumstances that prevent the operation of the ‘‘Fundamental Principle.’‘ More... »

PAGES

73-107

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s10436-004-0005-4

DOI

http://dx.doi.org/10.1007/s10436-004-0005-4

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1022849412


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