Limit Orders and Knightian Uncertainty скачать в хорошем качестве

Limit Orders and Knightian Uncertainty

This is a 18 min presentation of Limit Orders and Knightian Uncertainty (joint work with Michael Greinecker) that I gave at GAMES 2020. The first 5 minutes present the paper in a nutshell. We find that ambiguity averse decision makers (even if they do not randomize) behave like subjective expected utility maximizers in finance when they have access to trading through limit orders. Note that this, unlike similar results in the literature in somewhat different contexts, is true for the same risk preferences! Thus, ambiguity aversion cannot explain more behavior than subjected expected utility in finance. The paper is available here: https://papers.ssrn.com/sol3/papers.c...