| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w16187
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| 来源ID | Working Paper 16187
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| Trading Complex Assets |
| Bruce I. Carlin; Shimon Kogan
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| 发表日期 | 2010-07-15
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| 出版年 | 2010
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| 语种 | 英语
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| 摘要 | We perform an experimental study of complexity to assess its effect on trading behavior, price volatility, liquidity, and trade efficiency. Subjects were asked to deduce the value of a particular asset from information they were given about the composition and price of several portfolios. Following that, subjects traded with each other anonymously in a well-defined, simple bargaining process. Portfolio problems ranged from requiring simple analysis to more complicated computation. Complexity altered subjects' bidding strategies, decreased liquidity, increased price volatility, and decreased trade efficiency. Female subjects were affected more by complexity (e.g., lower trade frequency), although they achieved higher payoffs in the complex treatment. Our analysis suggests that complexity may be a driver of volatility and liquidity in financial markets and provides novel testable empirical predictions. |
| 主题 | Econometrics
; Experimental Design
; Financial Economics
; Portfolio Selection and Asset Pricing
|
| URL | https://www.nber.org/papers/w16187
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/573861
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推荐引用方式
GB/T 7714 |
Bruce I. Carlin,Shimon Kogan. Trading Complex Assets. 2010.
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文件名：
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w16187.pdf
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格式：
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Adobe PDF
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