Data and Code for "Learning from unrealized versus realized prices"

Resource Type
  • Ngangoué, M. Kathleen (New York University)
  • Weizsäcker, Georg (Humboldt Universität zu Berlin)
Publication Date
Funding Reference
  • ERC Starting Grant
    • Award Number: 263412
  • German Science Foundation - Collaborative Res. Center
    • Award Number: TRR 190
Free Keywords
Naive expectations; rational expectations; belief updating; contingent reasoning; price efficiency
  • Abstract

    Our experiments investigate the extent to which traders learn from the price, differentiating between situations where orders are submitted before versus after the price has realized. In simultaneous markets with bids that are conditional on the price, traders neglect the information conveyed by the hypothetical value of the price. In sequential markets where the price is known prior to the bid submission, traders react to price to an extent that is roughly consistent with the benchmark theory. The difference’s robustness to a number of variations provides insights about the drivers of this effect.

Temporal Coverage
  • 2014-01-01 / 2016-12-31
    Time Period: Wed Jan 01 00:00:00 EST 2014--Sat Dec 31 00:00:00 EST 2016
Geographic Coverage
  • Europe
  • North America
  • Is version of
    DOI: 10.3886/E119821

Update Metadata: 2020-07-17 | Issue Number: 1 | Registration Date: 2020-07-17