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Trading complex assets

Author: Bruce I Carlin; Shimon Kogan; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, ©2010.
Series: Working paper series (National Bureau of Economic Research), no. 16187.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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  Read more...
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Additional Physical Format: Print version:
Carlin, Bruce I., 1968-
Trading complex assets.
Cambridge, Mass. : National Bureau of Economic Research, ©2010
(DLC) 2010656197
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Bruce I Carlin; Shimon Kogan; National Bureau of Economic Research.
OCLC Number: 648735073
Description: 1 online resource (22 pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), no. 16187.
Responsibility: Bruce I. Carlin, Shimon Kogan.

Abstract:

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.

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