Dark markets: does private information make price formation less efficient?

A series of controlled experiments shows more price volatility but fair prices in over-the-counter markets, write Elena Asparouhova and Peter Bossaert

Encadrement normatif visant l'utilisation de la marijuana à des fins médicales en Occident

"Mémoire présenté à la Faculté des études supérieures en vue de l'obtention du grade de Maîtrise en droit, option recherche (LL.M.)"La marijuana existe dans l'environnement humain depuis des milliers d'années, tant pour ses usages récréatifs que médicaux. Pour ces derniers, elle tend à être de plus en plus valorisée; voire considérée comme un produit « non dangereux» et même bénéfique. Pourtant, ses vertus médicinales soulèvent toujours interrogations et controverses au sein du monde médical et scientifique. Ce mémoire examine l'encadrement normatif applicable à l'utilisation de la marijuana à des fins médicales. Dans un premier temps, il présente de façon simplifiée la composition chimique de cette plante et évoque l'histoire mondiale de la marijuana. Le chapitre II expose les Conventions internationales adoptées pour surveiller la production, la distribution et l'usage de marijuana. Le chapitre III est consacré à la législation européenne et en particulier à celle de la France, de la Suisse, du Royaume-Uni et des Pays-Bas. Enfin, la situation en Amérique du Nord est présentée dans le chapitre IV de façon à comparer la position des États-Unis et celle du Canada. Tout au long de ce mémoire, l'auteur note l'interaction entre le législatif et le judiciaire dans le débat entourant l'accès légal à la marijuana à des fins thérapeutiques.The marijuana has been known to humanity for thousands of years, for its recreational as weil as medical uses. In this contexts, it seems to be seen as "not dangerous" and even useful. However, among medical and scientific experts, discussions still occur about its medical characteristics. This paper studies the normative structures applicable to the use of marijuana for medical purposes. Firstly, it presents in a simplified way the chemical composition of this plant and describes its history. Chapter II introduces the International Conventions adopted in order to supervise the production, distribution and use of marijuana. Chapter III is dedicated to the European legislation and in particular the situation in France, Switzerland, the United Kingdom and the Netherlands. Finally, the situation in North America is presented in chapter IV comparing the positions of the United States of America and Canada. In this document, the author observes the interaction between the legislative regulations and the courts leading to the legal right to use marijuana for therapeutic purposes

Price Formation in Multiple, Simultaneous Continuous Double Auctions, with Implications for Asset Pricing

We propose a Marshallian model for price and allocation adjustments in parallel continuous double auctions. Agents quote prices that they expect will maximize local utility improvements. The process generates Pareto optimal allocations in the limit. In experiments designed to induce CAPM equilibrium, price and allocation dynamics are in line with the model's predictions. Walrasian aggregate excess demands do not provide additional predictive power. We identify, theoretically and empirically, a portfolio that is closer to mean-variance optimal throughout equilibration. This portfolio can serve as a benchmark for asset returns even if markets are not in equilibrium, unlike the market portfolio, which only works at equilibrium. The theory also has implications for momentum, volume and liquidity

Competition in Portfolio Management: Theory and Experiment

We explore theoretically and experimentally the general equilibrium price and allocation implications of delegated portfolio management when the investor--manager relationship is nonexclusive. Our theory predicts that competition forces managers to promise portfolios that mimic Arrow--Debreu AD securities, which investors then combine to fit their preferences. A weak version of the capital asset pricing model CAPM obtains, where state prices relative to state probabilities implicit in prices of traded securities will be inversely ranked to aggregate wealth across states. Our experiment broadly corroborates the price and choice predictions of the theory. However, price quality deteriorates when only a few managers attract most of the available wealth. Wealth concentration increases because funds flow toward managers who offer portfolios closer to replicating AD securities as in the theory, but also because funds flow to managers who had better performance in the immediate past an observation unrelated to the theory. This paper was accepted by Jerome Detemple, finance

Acknowledgments: We are grateful to Anat Admati, Ugo Albertazzi, Cindy Alexander,

We present a model in which issuers of asset backed securities choose to release coarse information to enhance the liquidity of their primary market, at the cost of reducing secondary market liquidity. The degree of transparency is inefficiently low if the social value of secondary market liquidity exceeds its private value. We show that various types of public intervention – mandatory transparency standards, provision of liquidit