The Experts below are selected from a list of 1656 Experts worldwide ranked by ideXlab platform

A Guarino - One of the best experts on this subject based on the ideXlab platform.

  • Noise Trading in a laboratory financial market a maximum likelihood approach
    Journal of the European Economic Association, 2005
    Co-Authors: Marco Cipriani, A Guarino
    Abstract:

    We study the extent to which, in a laboratory financial market, Noise Trading can stem from subjects' irrationality. We estimate a structural model of sequential Trading by using experimental data. In the experiment, subjects receive private information on the value of an asset and trade it in sequence with a market maker. We find that, in the laboratory, the Noise due to the irrational use of private information accounts for 35% of the decisions. When subjects act as Noise traders, they abstain from Trading 67% of the time. When they trade, the probability that they buy is significantly higher than the probability that they sell. (JEL: C92, D8, G14) Copyright (c) 2005 The European Economic Association.

  • Noise Trading in a laboratory financial market: A maximum likelihood approach
    JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION, 2005
    Co-Authors: A Guarino
    Abstract:

    We study the extent to which, in a laboratory financial market, Noise Trading can stem from subjects' irrationality. We estimate a structural model of sequential Trading by using experimental data. In the experiment, subjects receive private information on the value of an asset and trade it in sequence with a market maker. We find that, in the laboratory, the Noise due to the irrational use of private information accounts for 35% of the decisions. When subjects act as Noise traders, they abstain from Trading 67% of the time. When they trade, the probability that they buy is significantly higher than the probability that they sell.

Andrew K Rose - One of the best experts on this subject based on the ideXlab platform.

  • Noise Trading and exchange rate regimes
    Quarterly Journal of Economics, 2002
    Co-Authors: Olivier Jeanne, Andrew K Rose
    Abstract:

    Both the literature and new empirical evidence show that exchange rate regimes differ primarily by the noisiness of the exchange rate, not by measurable macroeconomic fundamentals. This motivates a theoretical analysis of exchange rate regimes with Noise traders. The presence of Noise traders can lead to multiple equilibria in the foreign exchange market. The entry of Noise traders alters the composition of the market and generates excess exchange rate volatility, since Noise traders both create and share the risk associated with exchange rate volatility. In such circumstances, monetary policy can be used to lower exchange rate volatility without altering macroeconomic fundamentals.

  • Noise Trading and exchange rate regimes
    National Bureau of Economic Research, 1999
    Co-Authors: Olivier Jeanne, Andrew K Rose
    Abstract:

    Both the literature and new empirical evidence show that exchange rate regimes differ primarily by the noisiness of the exchange rate, not be measurable macroeconomic fundamentals. This motivates a theoretical analysis of exchange rate regimes with Noise traders. The presence of Noise traders can lead to multiple equilibria in the foreign exchange market. The entry of Noise traders both create and share the risk associated with exchange rate volatility. In such circumstances, monetary policy can be used to lower exchange rate volatility without altering macroeconomic fundamentals.

Lukas Menkhoff - One of the best experts on this subject based on the ideXlab platform.

  • the Noise Trading approach questionnaire evidence from foreign exchange
    Journal of International Money and Finance, 1998
    Co-Authors: Lukas Menkhoff
    Abstract:

    Abstract This article examines three basic assumptions of the Noise Trading approach via a mailed questionnaire sent to professional foreign exchange market participants in Germany. Two groups, characterized by their use of different information, can be identified: `rational arbitrageurs' relying primarily on fundamental analysis and `not-fully-rational Noise traders' preferring other forms of analysis. The questionnaire further reveals the `short horizons' and `sentiments' assumed by the Noise Trading approach but cannot exclusively relate these to the respective groups. This conforms with the interpretation that rational participants use non-fundamental analyses to exploit less-rational Noise traders.

  • The Noise Trading approach — questionnaire evidence from foreign exchange
    Journal of International Money and Finance, 1998
    Co-Authors: Lukas Menkhoff
    Abstract:

    Abstract This article examines three basic assumptions of the Noise Trading approach via a mailed questionnaire sent to professional foreign exchange market participants in Germany. Two groups, characterized by their use of different information, can be identified: `rational arbitrageurs' relying primarily on fundamental analysis and `not-fully-rational Noise traders' preferring other forms of analysis. The questionnaire further reveals the `short horizons' and `sentiments' assumed by the Noise Trading approach but cannot exclusively relate these to the respective groups. This conforms with the interpretation that rational participants use non-fundamental analyses to exploit less-rational Noise traders.

Sean Masaki Flynn - One of the best experts on this subject based on the ideXlab platform.

  • Noise Trading costly arbitrage and asset prices evidence from us closed end funds
    Journal of Financial Markets, 2012
    Co-Authors: Sean Masaki Flynn
    Abstract:

    The behavior of US closed-end funds is very different from that of the UK funds studied by Gemmill and Thomas (2002). There is no evidence that their discounts are constrained by arbitrage barriers, no evidence that higher expenses increase discounts and no evidence that replication risk increases discounts—but strong evidence that Noise-trader risk is priced. The differences between US and UK funds may be due to the fact that small investors dominate US funds while institutional investors dominate UK funds, or because the sample selection method for the UK funds chooses only funds that are relatively easy to arbitrage.

Marco Cipriani - One of the best experts on this subject based on the ideXlab platform.

  • Noise Trading in a laboratory financial market a maximum likelihood approach
    Journal of the European Economic Association, 2005
    Co-Authors: Marco Cipriani, A Guarino
    Abstract:

    We study the extent to which, in a laboratory financial market, Noise Trading can stem from subjects' irrationality. We estimate a structural model of sequential Trading by using experimental data. In the experiment, subjects receive private information on the value of an asset and trade it in sequence with a market maker. We find that, in the laboratory, the Noise due to the irrational use of private information accounts for 35% of the decisions. When subjects act as Noise traders, they abstain from Trading 67% of the time. When they trade, the probability that they buy is significantly higher than the probability that they sell. (JEL: C92, D8, G14) Copyright (c) 2005 The European Economic Association.