G2TT
来源类型Discussion paper
规范类型论文
来源IDDP9817
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
URLhttps://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.
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