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   Heterogeneity of Beliefs and Trade in Experimental Asset MarketsNeugebauer, Tibor  ; ; et alin Journal of Financial and Quantitative Analysis (2019), 54 Detailed reference viewed: 70 (8 UL)RANK-ORDER COMPETITION IN THE VOLUNTARY PROVISION OF IMPURE PUBLIC GOODSNeugebauer, Tibor ; ; in Economic Inquiry (2019), 57(4), 2163-2183 Detailed reference viewed: 70 (2 UL)A Test of the Modigliani-Miller Invariance Theorem and Arbitrage in Experimental Asset MarketsNeugebauer, Tibor ; in Journal of Finance (2019), 74(1) Detailed reference viewed: 78 (9 UL)Experimental Stock Market Dynamics: Excess bids, directional learning, and adaptive style-investing in a call-auction with multiple multi-period lived assetsNeugebauer, Tibor ; in Journal of Economic Behavior and Organization (2019) Detailed reference viewed: 60 (2 UL)Underpricing of initial public offerings in experimental asset marketsNeugebauer, Tibor ; ; in Experimental Economics (2019) Detailed reference viewed: 22 (3 UL)Heterogeneity of beliefs in experimental asset markets revisitedNeugebauer, Tibor Scientific Conference (2018, November 28) We study the question if we can recover original traders’ price expectations in experimental asset markets if subjects receive the same pre-recorded information. Our results show reliable recovery of ... [more ▼] We study the question if we can recover original traders’ price expectations in experimental asset markets if subjects receive the same pre-recorded information. Our results show reliable recovery of original traders’ median expectations across treatments. Treatment comparison suggests no effect on beliefs of subjects’ action space, whether subjects trade, act as price takers or only observe the market. Our results also suggest that we are unable to recover the individual expectations beyond the median expectation. Hence, we confirm the advanced observation of the experimental literature that expectations are heterogeneous and markets do not homogenize beliefs. [less ▲] Detailed reference viewed: 53 (10 UL) Experimental Stock Market Dynamics: Excess bids, directional learning, and adaptive style investing in a call-auction with multiple multiperiod lived assetsNeugebauer, Tibor ; E-print/Working paper (2018) Detailed reference viewed: 69 (5 UL)Algorithmic Trading: An Introduction and Preliminary Experimental ResultsNeugebauer, Tibor Scientific Conference (2018, March 14) Algorithmic robot trading involves computer programmes for placing orders in financial markets. More than half of all transactions in financial markets involve algorithm traders. Algorithm traders have ... [more ▼] Algorithmic robot trading involves computer programmes for placing orders in financial markets. More than half of all transactions in financial markets involve algorithm traders. Algorithm traders have been thought of being responsible for recently observed flash crashes, i.e. instances when the market crashes and instantly recovers. A common function of algorthmic trading is to profit from arbitrage, but little is known about the impacts of such trading algorithms in the market. By exploiting riskless arbitrage or statistical arbitrage in financial markets, arbitrage trading algorithms in theory instate efficiency and eventually establish no-arbitrage conditions in a market. A natural starting point for experimental finance research is the study of the impact of arbitrage bots in the market. The presentation introduces to algorithm trading, advanced results from the financial literature and recent results from experiments. [less ▲] Detailed reference viewed: 82 (5 UL)A test of the Modigliani Miller Invariance Theorem and Arbitrage in Experimental Asset MarketsNeugebauer, Tibor ; E-print/Working paper (2018) Modigliani and Miller (1958) show that a repackaging of asset return streams to equity and debt has no impact on the total market value of the firm if pricing is arbitrage-free. We test the empirical ... [more ▼] Modigliani and Miller (1958) show that a repackaging of asset return streams to equity and debt has no impact on the total market value of the firm if pricing is arbitrage-free. We test the empirical validity of this invariance theorem in experimental asset markets with simultaneous trading in two shares of perfectly-correlated returns. Our data support value invariance for assets of identical risks when returns are perfectly correlated. However, exploiting price discrepancies has risk when returns have the same expected value but are uncorrelated, and we find that the law of one price is violated in this case. Discrepancies shrink in consecutive markets, but seem to persist even with experienced traders. In markets where overall trader acuity is high, assets trade closer to parity. [less ▲] Detailed reference viewed: 25 (1 UL)Impulse response dynamics in weakest link gamesNeugebauer, Tibor ; ; in German Economic Review (2016), 17(3), Detailed reference viewed: 73 (1 UL)Quantitative Finance Symposium, Quattro Pole++Neugebauer, Tibor Scientific Conference (2015) Detailed reference viewed: 22 (0 UL)Barcelona GSE Summer Forum Theoretical and experimental macroeconomicsNeugebauer, Tibor Scientific Conference (2015) Detailed reference viewed: 45 (0 UL)Conference on Behavioral Aspects of Macroeconomics and FinanceNeugebauer, Tibor Scientific Conference (2015) Detailed reference viewed: 24 (0 UL) |
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