Groupe d'Analyse et de Théorie Economique
Le "GATE Lyon-Saint-Etienne" (Groupe d'Analyse et de Théorie Economique) est une Unité Mixte de Recherche (UMR5824) rattachée au CNRS Sciences humaines & sociales, à l'Université Lumière-Lyon 2, à l'Université Jean Monnet-St-Etienne et à l'emlyon.
À la une
Voir toutes les actualitésJunior Professor Chair in Experimental and Behavioral economics
Workshop "GATE on the Docks"
Full professor positions at the University of Saint-Etienne
professor position (all levels) in health economics or health analytics
2nd Amsterdam/Saint-Etienne Workshop on Social Choice
PET Conference 2024 in Lyon on June 10-12, 2024.
GATE's candidates on the Job Market
Workshop "Public Policies, Cities and Regions"
Prochains évènements
Retour à l'agendaWe study candidates’ positioning when adjustments are possible in response to new information about voters’ preferences. Re-positioning allows candidates to get closer to the median voter but is costly both financially and electorally. We examine the occurrence and the direction of the adjustments depending on the ex-ante positions and the new information. In the unique subgame perfect equilibrium, candidates anticipate the possibility to adjust in response to future information and diverge ex-ante in order to secure a cost-less victory when the new information is favorable.
In many markets, informational asymmetries allow for misreporting of facts unobserved by others. In contrast to the traditional economists’ assumption that individuals are willing to misreport private information if this maximizes their material payoff, recent work has documented robust preferences for truth-telling among many decision-makers. Aggregate analyses of incentivized experimental reporting paradigms indicate that such preferences for truth-telling stem from a combination of an intrinsic motivation to be honest and a desire to be seen as honest. As the relative importance of these motivations is largely unknown at the individual level, we propose a novel incentivized measure to independently capture both underlying motives for preferences for truth-telling. We validate the measures’ properties experimentally and show that the measure meaningfully predicts behavior in other commonly studied situations that allow for dishonesty. Classifying individual preference types, we document systematic heterogeneity in preference for truth-telling (in a general population and a student sample). Finally, we design and validate a 2-minute survey module that allows researchers to meaningfully proxy preferences for being and being seen as honest at the individual level.
Dance to the market beat: emergent rhythm in algorithmic trading patterns
Laurent Pataillot
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The five-step tango (plus or minus two): emergent rhythm and information in algorithmic trading patterns
As financial markets have undergone a complete shift to a fully electronic format, their microstructure has transformed into an algorithmic paradigm, where the pursuit of speed is paramount for gaining a competitive edge in information acquisition. At ultra-short time scales, market activity can be decomposed into several layers of events happening on interacting exchanges, each contributing to the jumps from state to state of a global order book. We model the aggregated result as a superposition of Hawkes processes for 500 stocks traded on 14 US exchanges over a period of four years and find that, regardless of the asset, the market as a whole always diffuses information in clusters of five events on average, despite the steady increase of exogenous input over the years. We relate these findings to universal rhythmic rules and cognitive theories such as ’Miller’s law’ and the El Farol bar problem. Finally, we discuss our contribution to the literature claiming that markets operate at a near-critical state, as do all complex systems.
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Cake or potion? Setting bounds for market reflexivity
This study aims to explain past observations of market behavior by establishing lower and upper bounds for market reflexivity, typically quantified by the branching ratio of one or several Hawkes processes in the specific context of algorithmic and high-frequency trading. The lower bound is derived from the speed limit theorem, a well-known result in Stochastic Thermodynamics, which introduces a trade-off between speed and energy consumption. The upper bound, more similar to a ’downwards pressure’, results from a particular interpretation of Shannon’s noisy channel coding theorem, taking an information-theoretical view of financial markets as communication channels. Both bounds are linked by recent theoretical advances on the thermodynamic cost of communication. We show that this bounded region corresponds to an optimal cost-benefit regime to diffuse information and argue that increasing speed also increases energy consumption but does not improve the informational efficiency of markets.
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The Heat is On: Impact of Behavioral Temperature in an Artificial Equity Market
We consider a model where market participants can observe the identity of the agents they can be matched with but not their types. A mechanism generates a matching and an announcement at each reported type profile. For the case of one-sided incomplete information, we fully characterize the set of matching states which are both minimally informative and stable, and show that not every assortative matching mechanism is ex-post incentive compatible. Our main result states that every seemingly informative assortative matching mechanism is ex-post incentive compatible. Such mechanisms become manipulable when incompleteness of information applies to both sides of the market.
Derniers articles parus
Voir toutes les publicationsArticle dans une revue
2024
- ref_biblio
- Carla Morvan, Sonia Paty. Natural disasters and voter gratitude: What is the role of prevention policies?. Public Choice, In press, ⟨10.1007/s11127-023-01137-x⟩. ⟨hal-04393271⟩
- Accès au bibtex
- ref_biblio
- Lionel Perrier, Frederic Balusson, Magali Morelle, Joël Castelli, Juliette Thariat, et al.. Cost-effectiveness of weekly adaptive radiotherapy versus standard IMRT in head and neck cancer alongside the ARTIX trial. Radiotherapy & Oncology, 2024, Radiotherapy and Oncology : Journal of the European Society For Therapeutic, 193, pp.110116. ⟨10.1016/j.radonc.2024.110116⟩. ⟨hal-04444231⟩
- Accès au bibtex