Market Transparency and Call Markets

This paper reports the results of 16 experimental asset markets that explore the effects of trade transparency on the price formation process and its results using a more realistic design than related studies. The open orderbook does not improve informational efficiency and does not result in higher liquidity (lower transaction costs). An increase in information intensity leads to both higher trading volume and higher volatility in both orderbook treatments. The comparison shows that they only differ in price volatility which is higher with an open orderbook. The market results mentioned above are confirmed by analyses on the individual level. --Market Microstructure,Experimental Asset Markets,Orderbook Transparency,Individual Behavior in Call Markets

High pt Jet Studies with CMS

We present the plan of the CMS collaboration for early QCD measurements with high transverse momentum jets. Due to the enormous QCD cross section, a small amount of data (approximately ten inverse picobarn) from the first LHC p-p collisions will allow a reach in transverse momentum far beyond previous experiments. We discuss the measurements of the inclusive jet and dijet cross sections, as well as the dijet angular distributions and jet shapes. The analysis techniques, dominant systematic uncertainties, comparisons to QCD predictions, and sensitivity to physics processes beyond the Standard Model for these measurements will be presented

Strategy for an initial Measurement of the Inclusive Jet Cross Section with the CMS Detector

A strategy for an initial measurement of the inclusive jet cross section is presented and the related dominating systematic uncertainties are discussed. The study of this observable allows a fundamental probe of the theory of the strong interaction at unpreceeded energies. Additionally a method is presented to compare these measurements to calculations performed at next-to-leading order precision. In this context the dominating theoretical uncertainties are compared to the experimental ones

Strategy for an initial Measurement of the Inclusive Jet Cross Section with the CMS Detector

A strategy for an initial measurement of the inclusive jet cross section is presented and the related dominating systematic uncertainties are discussed. The study of this observable allows a fundamental probe of the theory of the strong interaction at unpreceeded energies. Additionally a method is presented to compare these measurements to calculations performed at next-to-leading order precision. In this context the dominating theoretical uncertainties are compared to the experimental ones

Institutional Herding in Bond Markets

Recent research has shown that institutional herding is a relevant phenomenon in stock markets. Do institutional investors also follow each other in bond markets? This paper focuses on the German bond market and uses data from 57 German mutual funds that invest mainly in DM-denominated bonds, which represents 71% of the total market volume. Due to the variety and large number of bonds that exist, we do not expect mutual funds to herd with regard to separate bonds. We believe instead that bonds with the same characteristics such as interest rate, maturity, collateral, or issuer are considered to be equivalent by institutional investors. Consequently, we construct "bond groups" consisting of similar bonds and analyze herding at a "bond group" level. Our results indicate that there is strong evidence of herding, albeit it is weaker than in stock markets. Further analysis suggests that mutual funds do not place an equal weight on different bond characteristics. Nominal interest rates appear to be most important in the bond selection process. --Mutual Funds,Herding,Imitation,Coordination,Behavioral Finance

Do Insiders Contribute to Market Efficiency? Informational Efficiency and Liquidity of Experimental Call Markets with and without Insiders

This paper reports the results of 13 experimental asset markets with 195 subjects that explore the effects of insider behavior on the price formation process and market liquidity. The experimental call markets use a more realistic design than related studies. We introduce infinitely-lived assets instead of periodical liquidation (so-called ?reset? markets) and provide full market transparency to the investors with an open orderbook. Our main findings are that insider trading does not improve informational efficiency at all but depresses market liquidity of the assets significantly. At a first glance, the observed spread widening as an impact of insider behavior leads to the conclusion that our call markets react ?as if? all subjects behave rationally like dealers in a market making environment. At a second glance, a first look into the individual data shows that only a smaller group of investors act as ?endogenous? market makers in the call market regime. --Market Microstructure,Experimental Asset Markets,Insider Behavior,Market Efficiency,Call Markets,Behavioral Finance

Discovering the best: Informational efficiency and liquidity of alternative trading mechanisms in experimental asset markets

This paper reports the results of 18 experimental asset markets with 262 subjects that explore the effects of liquidity and aggregation of information. The main focus lies on the comparison of different trading mechanisms of stock exchanges. Compared to most of financial markets experiments, reality is met by introducing long-living assets and integrating all subjects in a multi-period decision-making process. In accordance with the evidence from the empirical research in real financial markets, our results show that the continuous auction achieves the highest informational efficiency. Dealer markets do the worst; call markets (batch trading) reach an intermediate position. A comparable result is achieved regarding the liquidity of the trading mechanisms. For both success factors of real stock exchanges our results show a strong tendency that continuous trading outperforms the other market structures, at least in the framework of the present measurement and on the chosen abstraction level. This does not exclude for the practice to offer a combination with call markets in certain titles and at certain times, particularly, if the here met assumptions of an open market access and information symmetry between the investors do not apply in full extent. --Market Microstructure,Experimental Asset Markets,Market Efficiency,Informational Efficiency,Liquidity,Call Markets,Continuous Auction

Seitensprung oder mehr - wie monogam sind zufriedene Bankkunden?

Die Studie setzt sich zum Ziel, empirisch fundierte Aussagen zur Wechselbereitschaft aus scheinbar stabilen Haus- bzw. Hauptbankverbindungen zu treffen. Hierbei stehen die potentiellen Wechselgründe genauso im Blickpunkt wie die möglichen Gründe, einen Wechsel nicht zu vollziehen, obwohl Wechselanlässe bestehen. Darüber hinaus wird zusätzlich hinterfragt, ob nicht trotz der Intention von Kunden, aus wohldefinierten Gründen einen Wechsel zu vermeiden, ein teilweiser (?schleichender?) Wechsel in einzelnen Produkten stattfindet, auch wenn nach außen im Kontakt zum Finanzdienstleister Zufriedenheit und Nicht-Wechsel signalisiert werden. Die Analysen werden ergänzt um Untersuchungen zu Art und Umfang der Nutzung von Haupt- und Nebenbankverbindungen. Die Ergebnisse zeigen einen deutlich positiven Zusammenhang zwischen dem Ausmaß der Zufriedenheit und der Anzahl der Nebenbankverbindungen und der bei der Hauptbankverbindung genutzten Produkte auf. In einer differenzierenden Analyse lassen die resignativ Zufriedenen trotz ihres grundsätzlich positiven Votums über die Hausbank eine deutlich erhöhte Wechselabsicht erkennen. Darüber hinaus erscheinen sie erheblich abwanderungsgefährdet, da sie deutlich häufiger Nebenbankverbindungen mit typischen Cross-Selling-Produkten belegen. Dies gilt insbesondere für diejenigen Bankkunden, die zwar grundsätzlich einen Wechselanlass sehen, jedoch aufgrund bestimmter Faktoren wie monetärem Aufwand, persönlicher Bekanntheit oder einem Mangel an Alternativen einen Wechsel ihrer Hauptbankverbindung noch nicht vollzogen haben. Wesentliche Wechselgründe liegen nicht nur im Konditionenbereich, sondern sehr deutlich auch im Feld der Personalqualität und der Beratung. --Kundenzufriedenheit,Mehrfachbankverbindungen,Entscheidungsverhalten von Bankkunden,Bankwechsel,Kundenloyalität

Anlegerschutz in einem markt- und intermediärbasierten System: Eine Analyse im Lichte der Neuen Institutionenökonomik, der Theorie der Finanzintermediation und der Behavioral Economics & Finance

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