Smooth Trading with Overconfidence and Market Power
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- Albert S. Kyle & Anna Obizhaeva & Yajun Wang, 2016. "Smooth Trading with Overconfidence and Market Power," Working Papers w0226, Center for Economic and Financial Research (CEFIR).
References listed on IDEAS
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Cited by:
- Kyle, Albert S. & Obizhaeva, Anna A. & Tuzun, Tugkan, 2020. "Microstructure invariance in U.S. stock market trades," Journal of Financial Markets, Elsevier, vol. 49(C).
- Lou, Youcheng & Yang, Yaqing, 2023. "Information linkages in a financial market with imperfect competition," Journal of Economic Dynamics and Control, Elsevier, vol. 150(C).
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- Puru Gupta & Saul D. Jacka, 2023. "Portfolio Choice In Dynamic Thin Markets: Merton Meets Cournot," Papers 2309.16047, arXiv.org.
- Rahi, Rohit, 2021.
"Information acquisition with heterogeneous valuations,"
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- Rahi, Rohit, 2021. "Information acquisition with heterogeneous valuations," LSE Research Online Documents on Economics 107152, London School of Economics and Political Science, LSE Library.
- Lou, Youcheng & Rahi, Rohit, 2023. "Information, market power and welfare," LSE Research Online Documents on Economics 120479, London School of Economics and Political Science, LSE Library.
- Albert S. Kyle & Anna A. Obizhaeva & Yajun Wang, 2023. "Beliefs Aggregation and Return Predictability," Journal of Finance, American Finance Association, vol. 78(1), pages 427-486, February.
- Suchismita Mishra & Le Zhao, 2021. "Order Routing Decisions for a Fragmented Market: A Review," JRFM, MDPI, vol. 14(11), pages 1-32, November.
- Eric Budish & Robin S. Lee & John J. Shim, 2024.
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- Eric Budish & Robin S. Lee & John J. Shim, 2019. "A Theory of Stock Exchange Competition and Innovation: Will the Market Fix the Market?," NBER Working Papers 25855, National Bureau of Economic Research, Inc.
- Budish, Eric B. & Lee, Robin S. & Shim, John J., 2020. "A Theory of Stock Exchange Competition and Innovation: Will the Market Fix the Market?," Working Papers 301, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State.
- Eric Budish & Peter Cramton & Albert S. Kyle & Jeongmin Lee & David Malec, 2022.
"Flow Trading,"
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- Eric Budish & Peter Cramton & Albert S. Kyle & Jeongmin Lee & David Malec, 2023. "Flow Trading," NBER Working Papers 31098, National Bureau of Economic Research, Inc.
- Stepan Gorban & Anna A. Obizhaeva & Yajun Wang, 2020. "Trading in Crowded Markets," Working Papers w0275, New Economic School (NES).
- Lou, Youcheng & Rahi, Rohit, 2023. "Information, market power and welfare," Journal of Economic Theory, Elsevier, vol. 214(C).
- Fabrice Rousseau & Herve Boco & Laurent Germain, 2020. "When Overconfident Traders Meet Feedback Traders - Updated from 2016," Economics Department Working Paper Series n270-16.pdf, Department of Economics, National University of Ireland - Maynooth.
- Franz Ostrizek & Elia Sartori, 2024. "The Noise is in The Mind: Existence of Trading Equilibria with Transparent Prices," CSEF Working Papers 730, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Guo, Mng, 2023. "Dampening effect and market efficiency," Journal of Economic Dynamics and Control, Elsevier, vol. 148(C).
- Albert S. Kyle & Anna Obizhaeva & Yajun Wang, 2016. "Beliefs Aggregation and Return Predictability," Working Papers w0231, Center for Economic and Financial Research (CEFIR).
- Michail Anthropelos & Scott Robertson & Konstantinos Spiliopoulos, 2021. "Optimal investment, derivative demand, and arbitrage under price impact," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 3-35, January.
- Sudhanshu Pani, 2020. "A Theory of 'Auction as a Search' in speculative markets," Papers 2006.00775, arXiv.org.
- Michail Anthropelos & Constantinos Kardaras & Georgios Vichos, 2020.
"Effective risk aversion in thin risk‐sharing markets,"
Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1565-1590, October.
- Michail Anthropelos & Constantinos Kardaras & Georgios Vichos, 2017. "Effective risk aversion in thin risk-sharing markets," Papers 1707.05096, arXiv.org, revised Jun 2018.
- Anthropelos, Michail & Kardaras, Constantinos & Vichos, Georgios, 2020. "Effective risk aversion in thin risk-sharing markets," LSE Research Online Documents on Economics 102275, London School of Economics and Political Science, LSE Library.
- Frei, Christoph & Mitra, Joshua, 2021. "Optimal closing benchmarks," Finance Research Letters, Elsevier, vol. 40(C).
- Lou, Youcheng & Rahi, Rohit, 2021. "Information, market power and welfare," LSE Research Online Documents on Economics 118843, London School of Economics and Political Science, LSE Library.
- Michail Anthropelos & Scott Robertson & Konstantinos Spiliopoulos, 2018. "Optimal Investment, Demand and Arbitrage under Price Impact," Papers 1804.09151, arXiv.org, revised Dec 2018.
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"Importance of transaction costs for asset allocation in foreign exchange markets,"
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- Albert S. Kyle & Anna Obizhaeva & Yajun Wang, 2016. "Beliefs Aggregation and Return Predictability," Working Papers w0231, New Economic School (NES).
- Baldauf, Markus & Frei, Christoph & Mollner, Joshua, 2024. "Block trade contracting," Journal of Financial Economics, Elsevier, vol. 160(C).
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More about this item
Keywords
Market microstructure; Price impact; Liquidity; Transaction costs; Double auctions; Information aggregation; Rational expectations; Agreement to disagree; Imperfect competition; Keynesian beauty contest; Overconfidence; Strategic trading; Dynamic trading; Flash crash;All these keywords.
JEL classification:
- D8 - Microeconomics - - Information, Knowledge, and Uncertainty
- D43 - Microeconomics - - Market Structure, Pricing, and Design - - - Oligopoly and Other Forms of Market Imperfection
- D47 - Microeconomics - - Market Structure, Pricing, and Design - - - Market Design
- G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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