ICES Experimental Economics Brown Bag Lecture
Price impact under heterogeneous beliefs and restricted participation: Experimental Design
Friday, March 28, 2025 4:00 PM to 5:00 PM EDT
Vernon Smith Hall (formerly Metropolitan Building), Room 5075
The Interdisciplinary Center for Economic Science (ICES) presents an ICES Brown Bag Lecture featuring:
George Mason University
Price impact under heterogeneous beliefs and restricted participation: Experimental Design
Abstract
According to the predictions of the model by Anthropelos and Kardaras (2024), when traders initially have less price impact due to differing beliefs about the covariance of asset returns, restricting these traders from trading certain assets can increase market revenue by reducing the price impact of other traders. We report an experimental design comparing a restricted market to a full-participation market, focusing on cases where participants hold different beliefs about payoff covariances. We hypothesize that our results will support this theory. Our anticipated findings would provide insights into the value of trading restrictions and related regulatory policies.
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