Super-exponential bubbles in lab experiments : evidence for anchoring over-optimistic expectations on price

Andreas Huesler; Didier Sornette; Cars Hommes

We analyze a controlled price formation experiment in the laboratory that shows evidence for bubbles. We calibrate two models that demonstrate with high statistical significance that these laboratory bubbles have a tendency to grow faster than exponential due to positive feedback. We show that the positive feedback operates by traders continuously upgrading their over-optimistic expectations of future returns based on past prices rather than on realized returns.

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Year of publication:	2012
Authors:	Huesler, Andreas D. ; Sornette, Didier ; Hommes, Cars H.
Publisher:	Genève : Swiss Finance Inst.
Subject:	Spekulation \| Speculation \| Kapitaleinkommen \| Capital income \| Rationale Erwartung \| Rational expectations \| Spekulationsblase \| Bubbles \| Verhaltensökonomik \| Behavioral economics \| Experiment

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Extent:	Online-Ressource (PDF-Datei: 30 S.) graph. Darst.
Series:	Research paper series / Swiss Finance Institute. - Geneva, ZDB-ID 2392286-2. - Vol. 12,20 Swiss Finance Institute Research Paper ; No. 12-20
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Other identifiers:	10.2139/ssrn.2060978 [DOI]
Classification:	C92 - Laboratory; Group Behavior ; D84 - Expectations; Speculations ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10009560804