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Autor:innen: 
Erscheinungsjahr: 
2022
Schriftenreihe/Nr.: 
Working Paper No. 6/2022
Verlag: 
Norges Bank, Oslo
Zusammenfassung: 
This paper studies whether and why algorithmic traders exhibit one of the most broadlydocumented behavioral puzzles - the disposition effect. We use trade data from the NASDAQ Copenhagen Stock Exchange merged with the weather data. We find that on average, the disposition effect for human traders is substantial and increases significantly on colder days, while for similarly-trading algorithms, it is insignificant and insensitive to the weather. This provides causal evidence of the link between human psychology and the disposition effect and suggests that algorithms can reduce psychology-related human errors. Considering the ongoing AI adoption, this may have broad implications.
Schlagwörter: 
Disposition effect
Algorithmic trading
High-frequency trading
Decision making
Financial markets
Rationality
JEL: 
D8
D91
G11
G12
G23
G41
O3
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-82-8379-235-5
Creative-Commons-Lizenz: 
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Dokumentart: 
Working Paper
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