Please use this identifier to cite or link to this item: http://hdl.handle.net/2381/33052
Title: Fragmentation and stability of markets
Authors: Ladley, Daniel
Lensberg, Terje
Palczewski, Jan
Schnke-Hoppé, Klaus Reiner
First Published: 25-Sep-2015
Publisher: Elsevier
Citation: Journal of Economic Behavior and Organization, 2015, 119, pp. 466–481
Abstract: Trading skills are highly rewarded in practice but largely ignored in theoretical models of financial markets. This paper demonstrates the importance of skills by examining their interaction with market fragmentation and market stability. We consider a computational model where traders' abilities to accurately price assets are endogenous. In contrast to models that do not consider skills, we find that centralising markets can lead to higher price volatility and less resilience to shocks because it increases the equilibrium proportion of unskilled traders.
DOI Link: 10.1016/j.jebo.2015.09.013
ISSN: 0167-2681
Links: http://www.sciencedirect.com/science/article/pii/S0167268115002565
http://hdl.handle.net/2381/33052
Version: Post-print
Status: Peer-reviewed
Type: Journal Article
Rights: Copyright © 2015, Elsevier. Deposited with reference to the publisher’s archiving policy available on the SHERPA/RoMEO website.
Description: The file associated with this record is under embargo until 18 months after publication, in accordance with the publisher's self-archiving policy. The full text may be available through the publisher links provided above.
Appears in Collections:Published Articles, Dept. of Economics

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