NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Trading and Liquidity with Limited Cognition

Bruno Biais, Johan Hombert, Pierre-Olivier Weill

NBER Working Paper No. 16628
Issued in December 2010

---- Acknowledgements -----

Many thanks, for helpful discussions and suggestions, to Andy Atkeson, Dirk Bergemann, Darrell Duffie, Emmanuel Farhi, Thierry Foucault, Xavier Gabaix, Alfred Galichon, Christian Hellwig, Hugo Hopenhayn, Vivien Levy--Garboua, Johannes Horner, Boyan Jovanovic, Ricardo Lagos, Albert Menkveld, John Moore, Stew Myers, Henri Pages, Thomas Philippon, Gary Richardson, Jean Charles Rochet, Guillaume Rocheteau, Ioanid Rosu, Larry Samuelson, Tom Sargent, Jean Tirole, Aleh Tsyvinski, Juusso Valimaki, Dimitri Vayanos, Adrien Verdelhan, and Glen Weyl; and to seminar participants at the Dauphine-NYSE-Euronext Market Microstructure Workshop, the European Summer Symposium in Economic Theory at Gerzensee, École Polytechnique, Stanford Graduate School of Business, New York University, Northwestern University, HEC Montreal, MIT, and UCI. Paulo Coutinho and Kei Kawakami provided excellent research assistance. Bruno Biais benefitted from the support of the "Financial Markets and Investment Banking Value Chain Chair'' sponsored by the Federation Bancaire Francaise and from the Europlace Institute of Finance, and Pierre-Olivier Weill from the support of the National Science Foundation, grant SES-0922338. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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