Privileged Traders and Asset Market Efficiency: A Laboratory Study
Privileged Traders and Asset Market Efficiency: A Laboratory Study
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特权交易者和资产市场效率：实验室研究
DOI：
10.2307/2331163
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发表时间：
1993
影响因子：
3.9
通讯作者：
D. Friedman
中科院分区：
文献类型：
--
作者：
D. Friedman
摘要本文通过39个实验考察了授予某些交易者特权而不授予其他交易者特权对交易利润和市场表现的影响。在看涨期权市场实验中，后发者和订单流访问特权都是适度盈利的，两者都不会损害市场表现。在持续的市场实验中，更快地获取订单流信息是非常有利可图的，更详细的访问可能是有利可图的；这两种特权似乎都能略微提升市场表现。相比之下，特权做市商利润极高，极大地损害了市场表现。
Abstract The 39 experiments reported here examine the impact on trading profits and on market performance of awarding special trading privileges to some traders and not others. In call market experiments, the last-mover and orderflow access privileges are both modestly profitable and neither impairs market performance. In continuous market experiments, quicker access to orderflow information is quite profitable and more detailed access is possibly profitable; both privileges seem to enhance market performance slightly. By contrast, privileged marketmaking is extremely profitable and greatly impairs market performance.