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Bubble formation and (in)efficient markets in learning-to-forecast and -optimise experiments

Te, Bao; Hommes, Cars H.; Makarewicz, Tomasz - 2015

This experiment compares the price dynamics and bubble formation in an asset market with a price adjustment rule in three treatments where subjects (1) submit a price forecast only, (2) choose quantity to buy/sell and (3) perform both tasks. We find deviation of the market price from the...

Persistent link: https://www.econbiz.de/10011333057

Financial markets as nonlinear adaptive evolutionary systems

Hommes, Cars H. - 2001

Recent work on complex adaptive systems for modeling financialmarkets is surveyed. Financia1 markets areviewed as evolutionary systems between different, competing tradingstrategies. Agents are boundedly rational inthe sense that they tend to follow strategies that have performedwell, according...

Persistent link: https://www.econbiz.de/10011313923

Financial markets as nonlinear adaptive evolutionary systems

Hommes, Cars H. - 2000

Persistent link: https://www.econbiz.de/10001554477

Washington meets Wall Street : a closer examination of the presidential cycle puzzle

Kräussl, Roman; Lucas, André; Rijsbergen, David; … - 2008

Persistent link: https://www.econbiz.de/10003787145

Washington meets Wall Street : a closer examination of the presidential cycle puzzle

Kräussl, Roman; Lucas, André; Rijsbergen, D.; Sluis, … - 2009

the presidential cycle election (PCE) theory as an alternative explanation. The PCE theory states that incumbent parties … formulate seven different propositions relating to fiscal, monetary, tax, and political implications of PCE theory. We find no … statistically significant evidence confirming the PCE theory as a plausible explanation for the presidential cycle effect. The …

Persistent link: https://www.econbiz.de/10011377245

The forward premium puzzle only emerges gradually

Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2007

The forward premium puzzle (FPP) is the negative correlation between the forward premium and the realized exchange rate return at maturities of a month and beyond. Some recent evidence shows that at maturities of multiple years and at the highest intra day frequency the correlation is positive...

Persistent link: https://www.econbiz.de/10011372514

Simultaneous search and network efficiency

Gautier, Pieter; Holzner, Christian - 2011

Persistent link: https://www.econbiz.de/10009720781

Exclusive portfolio dealing and market inefficiency

Kessler, Natalie; Lelyveld, Iman van; Woerd, Ellen van der - 2024

We rationalize exclusive portfolio dealing in a novel three-period partial equilibrium framework populated by a representative, risk-neutral seller and a small number of ex ante identical broker-dealers. Endowed with independent, uncertain demand for a representative asset, the broker-dealers...

Persistent link: https://www.econbiz.de/10014496480

Positive expectations feedback experiments and number guessing games as models of financial markets

Sonnemans, Joep; Tuinstra, Jan - 2008

Persistent link: https://www.econbiz.de/10003762592

Interacting agents in finance

Hommes, Cars H. - 2006

Persistent link: https://www.econbiz.de/10003314796

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