Similar Search Results

Mind, body, bubble! : psychological and biophysical dimensions of behavior in experimental asset markets

Butler, David J.; Cheung, Stephen L. - 2018

Asset market bubbles and crashes are a major source of economic instability and inefficiency. Sometimes ascribed to animal spirits or irrational exuberance, their source remains imperfectly understood. Experimental methods can isolate systematic deviations from an asset's fundamental value in a...

Persistent link: https://www.econbiz.de/10011870688

Pricing indefinitely lived assets : experimental evidence

Duffy, John; Jiang, Janet Hua; Xie, Huan - 2023 - Last updated: April 24, 2023

We study indefinitely lived assets in experimental markets and find that the traded prices of these assets are, on average, about 40% of the risk-neutral fundamental value. Neither uncertainty about the value of total dividend payments nor horizon uncertainty about the duration of trade can...

Persistent link: https://www.econbiz.de/10014253810

Arbitrage Bots in Experimental Asset Markets

Angerer, Martin; Neugebauer, Tibor; Shachat, Jason - 2022

Trading algorithms are an integral component of modern asset markets. In two experimental markets for long-lived correlated assets we examine the impact of alternative types of arbitrage-seeking algorithms. These arbitrage robot traders vary in their latency and whether they make or take market...

Persistent link: https://www.econbiz.de/10013308153

Do experimental asset market results replicate? : high-powered preregistered replications of 17 claims

Huber, Christoph; Holzmeister, Felix; Johannesson, Magnus; … - 2024

Experimental asset markets provide a controlled approach to studying financial markets. We attempt to replicate 17 key results from four prominent studies, collecting new data from 166 markets with 1,544 participants. Only 3 of the 14 original results reported as statistically significant were...

Persistent link: https://www.econbiz.de/10015163499

Experimental Asset Markets with An Indefinite Horizon

Duffy, John - 2020

We study indefinitely-lived assets in experimental markets and find that the traded prices of these assets are on average about 40% of the risk neutral fundamental value. Neither uncertainty about the value of total dividend payments nor horizon uncertainty about the duration of trade can...

Persistent link: https://www.econbiz.de/10012848608

Heterogeneous expectations and asset price dynamics

Schmitt, Noemi - 2018

Within the seminal asset-pricing model by Brock and Hommes (1998), heterogeneous boundedly rational agents choose between a fixed number of expectation rules to forecast asset prices. However, agents' heterogeneity is limited in the sense that they typically switch between a representative...

Persistent link: https://www.econbiz.de/10011787392

Complex evolutionary systems in behavioral finance

Hommes, Cars H.; Wagener, Florian Oskar Ottokar - 2008

Traditional finance is built on the rationality paradigm. This chapter discusses simple models from an alternative approach in which financial markets are viewed as complex evolutionary systems. Agents are boundedly rational and base their investment decisions upon market forecasting heuristics....

Persistent link: https://www.econbiz.de/10011376458

To See is to Believe : Common Expectations in Experimental Asset Markets

Cheung, Stephen L. - 2012

We challenge the recent claim that mispricing in the experimental asset markets introduced by Smith, Suchanek, and Williams (1988) is merely an artefact of confusion over declining fundamental value, and can be eliminated through appropriate training. We instead propose that when training is...

Persistent link: https://www.econbiz.de/10013099096

Opening and Closing Price Efficiency : Do Financial Markets Need the Call Auction?

Ibikunle, Gbenga - 2016

We model 73.62 million London Stock Exchange (LSE) trades and show that the LSE's high rate of failure to open at the opening auction only relates to low volume stocks. Low volume stock traders avoid trading until the open; this seems connected to their evading the informed trading-dominated...

Persistent link: https://www.econbiz.de/10013006656

Stylized Facts of Financial Markets and Modeling Volatility (The Case of Tehran Stock Exchange)

Pakizeh, Kamran - 2012

The financial markets stylized facts, volatility and its relationship with returns tested empirically in Tehran Stock …, 1) - EGARCH (1, 1) are used to determine the process of stock returns and volatility, and by applying ARCH(M) class … models and out-of-sample methodology the relationship between stock return and volatility is examined. The key findings are …

Persistent link: https://www.econbiz.de/10013115744