Gateway to Think Tanks
来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP9817 |
DP9817 Price Distortions in High-Frequency Markets | |
jakub steiner; Colin Stewart | |
发表日期 | 2014-02-09 |
出版年 | 2014 |
语种 | 英语 |
摘要 | We study the effect of frequent trading opportunities and categorization on pricing of a risky asset. Frequent opportunities to trade can lead to large distortions in prices if some agents forecast future prices using a simplified model of the world that fails to distinguish between some states. In the limit as the period length vanishes, these distortions take a particular form: the price must be the same in any two states that a positive mass of agents categorize together. Price distortions therefore tend to be large when different agents categorize states in different ways, even if each individual?s categorization is not very coarse. Similar results hold if, instead of using a simplified model of the world, some agents overestimate the likelihood of small probability events, as in prospect theory. |
主题 | Financial Economics ; Industrial Organization |
关键词 | Bounded rationality Coarse reasoning High-frequency trading Price formation |
URL | https://cepr.org/publications/dp9817 |
来源智库 | Centre for Economic Policy Research (United Kingdom) |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538653 |
推荐引用方式 GB/T 7714 | jakub steiner,Colin Stewart. DP9817 Price Distortions in High-Frequency Markets. 2014. |
条目包含的文件 | 条目无相关文件。 |
个性服务 |
推荐该条目 |
保存到收藏夹 |
导出为Endnote文件 |
谷歌学术 |
谷歌学术中相似的文章 |
[jakub steiner]的文章 |
[Colin Stewart]的文章 |
百度学术 |
百度学术中相似的文章 |
[jakub steiner]的文章 |
[Colin Stewart]的文章 |
必应学术 |
必应学术中相似的文章 |
[jakub steiner]的文章 |
[Colin Stewart]的文章 |
相关权益政策 |
暂无数据 |
收藏/分享 |
除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。