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Anticipatory Emotional Engagement, Order-Side Pricing Discipline, and Bubble Exit Timing: A Secondary Analysis of Continuous Double-Auction Trading

Author(s): Spyros G. Tzafestas1, Giannis Dimitrios1
1National Technical University of Athens, Zographou, GRI5773 Athens, Greece
Spyros G. Tzafestas
National Technical University of Athens, Zographou, GRI5773 Athens, Greece
Giannis Dimitrios
National Technical University of Athens, Zographou, GRI5773 Athens, Greece

Abstract

The recent evidence that anticipatory emotional engagement improves trading outcomes establishes a persuasive timing-based distinction between beneficial and detrimental physiological states. Yet an important mechanism remains unresolved: how does anticipatory autonomic engagement translate into superior financial performance in a continuous market? This article addresses that question through a secondary analysis of the same laboratory asset-market dataset, shifting the focus from aggregate earnings to the microstructure of order placement and inventory reduction. Using the published continuous double-auction data, including synchronized order-book records, electrocardiographic (ECG) heart-rate traces, and electrodermal activity (SCR), we construct a side-specific quote-surplus measure that evaluates the quality of bids and asks relative to contemporaneous fundamental value. We then estimate multilevel order-level models, a discrete-time hazard model of post-peak de-risking, and a trader-level decomposition linking physiology, trading discipline, and final earnings.

The results indicate that anticipatory heart-rate acceleration in the 10 seconds preceding an order is associated with significantly better quote discipline, with the effect substantially larger for sell orders during the bubble peak. By contrast, reactive heart-rate elevations following trade execution are associated with inferior subsequent pricing and delayed inventory reduction. Traders in the highest quartile of anticipatory engagement reduce risky inventory earlier after the session-specific mispricing peak and realize meaningfully higher terminal earnings. Decomposition estimates are consistent with roughly two-thirds of the earnings association operating through improved quote placement and faster de-risking. The findings sharpen the contribution of the original study by showing that anticipatory emotional engagement is linked not merely to profitability, but to the timing and directional discipline of concrete trading actions.

Copyright © 2024 Spyros G. Tzafestas, Giannis Dimitrios. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Cite this Article

APA
Tzafestas, S., Dimitrios, G. (2024). Anticipatory Emotional Engagement, Order-Side Pricing Discipline, and Bubble Exit Timing: A Secondary Analysis of Continuous Double-Auction Trading. Journal of Management and Planning Research, 1(1), 100-112. https://doi.org/10.66033/jmpr2024-109
MLA
Tzafestas, Spyros G., and Giannis Dimitrios. "Anticipatory Emotional Engagement, Order-Side Pricing Discipline, and Bubble Exit Timing: A Secondary Analysis of Continuous Double-Auction Trading." Journal of Management and Planning Research, vol. 1, no. 1, 2024, pp. 100-112.
Chicago
Tzafestas, Spyros G.. "Anticipatory Emotional Engagement, Order-Side Pricing Discipline, and Bubble Exit Timing: A Secondary Analysis of Continuous Double-Auction Trading." Journal of Management and Planning Research 1, no. 1 (2024): 100-112. https://doi.org/10.66033/jmpr2024-109
Harvard
Tzafestas, S., Dimitrios, G., 2024. Anticipatory Emotional Engagement, Order-Side Pricing Discipline, and Bubble Exit Timing: A Secondary Analysis of Continuous Double-Auction Trading. Journal of Management and Planning Research, 1(1), pp.100-112.
Vancouver
Tzafestas S, Dimitrios G. Anticipatory Emotional Engagement, Order-Side Pricing Discipline, and Bubble Exit Timing: A Secondary Analysis of Continuous Double-Auction Trading. Journal of Management and Planning Research. 2024;1(1):100-112.