| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16628 |
| 来源ID | Working Paper 16628 |
| Trading and Liquidity with Limited Cognition | |
| Bruno Biais; Johan Hombert; Pierre-Olivier Weill | |
| 发表日期 | 2010-12-16 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | We study the reaction of financial markets to aggregate liquidity shocks when traders face cognition limits. While each financial institution recovers from the shock at a random time, the trader representing the institution observes this recovery with a delay reflecting the time it takes to collect and process information about positions, counterparties and risk exposure. Cognition limits lengthen the market price recovery. They also imply that traders who find that their institution has not yet recovered from the shock place market sell orders, and then progressively buy back at relatively low prices, while simultaneously placing limit orders to sell later when the price will have recovered. This generates round trip trades, which raise trading volume. We compare the case where algorithms enable traders to implement this strategy to that where traders can place orders only when they have completed their information processing task. |
| 主题 | Microeconomics ; Economics of Information ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w16628 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/574302 |
| 推荐引用方式 GB/T 7714 | Bruno Biais,Johan Hombert,Pierre-Olivier Weill. Trading and Liquidity with Limited Cognition. 2010. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w16628.pdf（546KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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