Information aggregation in experimental asset markets in the presence of a manipulator |
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Authors: | Helena Veiga Marc Vorsatz |
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Institution: | 1.Department of Statistics,Universidad Carlos III Madrid,Getafe,Spain;2.Finance Research Center,ISCTE Business School,Lisbon,Portugal;3.Fundación de Estudios de Economía Aplicada (FEDEA),Madrid,Spain |
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Abstract: | We study with the help of a laboratory experiment the conditions under which an uninformed manipulator—a robot trader that
unconditionally buys several shares of a common value asset in the beginning of a trading period and unwinds this position
later on—is able to induce higher asset prices. We find that the average price is significantly higher in the presence of
the manipulator if and only if the asset takes the lowest possible value and insiders receive perfect information about the
true value of the asset. It is also evidenced that the robot trader makes trading gains. Finally, both uninformed and partially
informed traders may suffer from the presence of the robot. |
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Keywords: | |
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