Is more information always better?

Huber, Jürgen; Kirchler, Michael; Sutter, Matthias

doi:10.1016/j.jebo.2005.05.012

Cited by 68 publications

(6 citation statements)

References 23 publications

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“…Traders having the first five levels of information do not outperform the average and only the best informed traders (insiders) are able to gain excess returns compared to the market [11,12]. For a statistical comparison of performance of traders we ran the Wilcoxon rank sum test for equal medians [13,14], on the relative performance for pairs of information levels.…”

Section: Results Of the Experimentsmentioning

confidence: 99%

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The value of information in a multi-agent market model

et al. 2007

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We present an experimental and simulated model of a multi-agent stock market driven by a double auction order matching mechanism. Studying the effect of cumulative information on the performance of traders, we find a non monotonic relationship of net returns of traders as a function of information levels, both in the experiments and in the simulations. Particularly, averagely informed traders perform worse than the non informed and only traders with high levels of information (insiders) are able to beat the market. The simulations and the experiments reproduce many stylized facts of tick-by-tick stock-exchange data, such as fast decay of autocorrelation of returns, volatility clustering and fat-tailed distribution of returns. These results have an important message for everyday life. They can give a possible explanation why, on average, professional fund managers perform worse than the market index. PACS. 89.65.Gh Economics; econophysics, financial markets, business and management -89.65.-s Social and economic systems -89.70.+c Information theory and communication theory -89.75.-k Complex systems 1 Introduction "We live in an information society" is a commonly used phrase today. Education, knowledge and information are

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Section: Results Of the Experimentsmentioning

confidence: 99%

“…. , trader I9 for the current and the next eight periods [11,12]. This way we got a cumulative information struc-ture of the market where better informed agents know future dividends earlier than less informed ones.…”

Section: Information Setupmentioning

confidence: 99%

The value of information in a multi-agent market model

et al. 2007

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“…(Aboody & Kasznik, 2000;Ivashina & Sun, 2011;Kothari, Shu, & Wysocki, 2009). There are studies that show how excessive information might not be bene􀅫icial, contradicting the positive expectations of the regulator (Huber, Kirchler, & Sutter, 2008;Joyce, 2008) Shang, Brooks, andMcCloy (2014). Over the past 100 years, out of all the tested 􀅫inancial and economic hypotheses -EMH is of great importance.…”

Section: Literature Reviewmentioning

confidence: 99%

Block Chain Markets During COVID-19. From the Perspective of Market Efficiency and Behavioral Finance

Ghaffar,

Gazali,

Aziz

2024

JMPHSS

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The Corona crisis adversely affected the 􀅫inancial system. Investor's behavior tends to change in periods of crisis. Therefore, current study investigated top 􀅫ive cryptocurrency market ef􀅫iciency and its association with behavioral 􀅫inance in terms of investor irrational behavior during COVID-19. Current study followed parametric or non-parametric techniques for analysis of weak form market ef􀅫iciency for time period Jan 2020 till July 2020 using Statgraphics 18 and EVIEWS. Findings of study suggest that markets are inef􀅫icient during the corona crisis. This research paper provides implication both theoretically and on the regulatory authorities. Future research should consider all 􀅫ifty markets in order to check validity of ef􀅫icient market hypothesis. Clemente, Montañeś, and Reyes (1998) tests are constructed on the basis of the advanced outlier and additive outliers. Future study should consider pre post analysis in order to draw compression for better results.Current study provides fruitful information for policy makers and regulatory authorities for decision making. Although 􀅫indings of current study are introductory in nature as this study measures the presence of EMH in block chain markets. This study also provides theoretical implications.

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“…However, we are in line with other experimental work. Indeed, on the one hand, there are numerous studies with similar numbers of players per market (see for example Morone and Caferra (2020), Huber et al (2008) and Noussair and Xu (2015), with 8, 10 and 14 players, respectively). On the other hand, other studies use a similar number of sessions and repetitions (see, Noussair and Xu (2015), with 8 and 10 sessions and repetitions).…”

Section: The Expected Theoretical Trading Network Formationmentioning

confidence: 99%

Agents interaction and price dynamics: evidence from the laboratory

Caferra

Tedeschi

Morone

2022

J Econ Interact Coord

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Using data collected from an experimental double auction market, we study the dynamics of interaction among traders. Our focus is on the effect the trading network has on price dynamics and price-fundamental convergence. At the aggregate level, the network of empirical exchanges reveals properties that are dissimilar from random graphs and, in particular, high centrality and high clustering. Precisely, these properties are identifiable as the cause of price volatility and divergence from the fundamental value. At the microscopic level, we find out how the topological properties of the network derive from the behavior of traders. In fact, our findings show that it is the unbridled trading action of very centralized players who implement a minority game, to give rise to volatility clustering and arbitrage opportunities.JEL codes: D03 • D53 • D85 • G12

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Is more information always better?

Cited by 68 publications

References 23 publications

The value of information in a multi-agent market model

The value of information in a multi-agent market model

Block Chain Markets During COVID-19. From the Perspective of Market Efficiency and Behavioral Finance

Agents interaction and price dynamics: evidence from the laboratory

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