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Learning from Unrealized versus Realized Prices†

Learning from Unrealized versus Realized Prices† AbstractOur 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. (JEL D44, D82, D84, G12, G14) http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png American Economic Journal: Microeconomics American Economic Association

Learning from Unrealized versus Realized Prices†

Learning from Unrealized versus Realized Prices†

American Economic Journal: Microeconomics , Volume 13 (2) – May 1, 2021

Abstract

AbstractOur 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. (JEL D44, D82, D84, G12, G14)

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Publisher
American Economic Association
Copyright
Copyright © 2021 © American Economic Association
ISSN
1945-7685
DOI
10.1257/mic.20180268
Publisher site
See Article on Publisher Site

Abstract

AbstractOur 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. (JEL D44, D82, D84, G12, G14)

Journal

American Economic Journal: MicroeconomicsAmerican Economic Association

Published: May 1, 2021

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