Experimentation in Financial Markets

• 成果类型: Article
• 署名作者: Massa, Massimo; Simonov, Andrei
• 署名单位: INSEAD Business School; Michigan State University; Michigan State University's Broad College of Business
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.1090.1030
• 发表日期: 2009
• 页码: 1377-1390
• 关键词: interdealer trading; experimentation; learning; trading strategies

摘要

In this paper, we use a unique data set on the Italian interdealer bond market to empirically estimate the process of strategic experimentation. The results show how the information generated in the process of interdealer trading affects the incentive to experiment. Upon receipt of an order, dealers deliberately engage in trade with other dealers either to exploit the information contained in the order they receive or, if they are uncertain about its quality, to assess it by actively experimenting with other dealers. We therefore identify hiding and experimenting as main types of dealer strategies.