Noise Trading in a Laboratory Financial Market: A Maximum Likelihood Approach
Noise Trading in a Laboratory Financial Market: A Maximum Likelihood Approach
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实验室金融市场中的噪音交易：最大似然法
DOI：
10.1162/jeea.2005.3.2-3.315
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发表时间：
2005
影响因子：
3.6
通讯作者：
A. Guarino
中科院分区：
文献类型：
--
作者：
Marco Cipriani;A. Guarino
我们研究在实验室金融市场中，噪声交易在多大程度上可能源于受试者的非理性。我们利用实验数据估计了序贯交易的结构模型。在实验中，受试者接收有关资产价值的私人信息，并按顺序与做市商进行交易。我们发现，在实验室中，由于不合理使用私人信息而产生的噪音占决策的35%。当受试者充当噪音交易者时，他们67%的时间不进行交易。当他们交易时，他们买入的概率明显高于他们卖出的概率。(JEL：C92，D8，G14)版权所有(C)2005年欧洲经济协会。
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.