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Informational Asymmetries in Laboratory Asset Markets with State-Dependent Fundamentals

Keser, Claudia - 2014

We investigate the formation of market prices in a new experimental setting involving multi-period call-auction asset markets with state-dependent fundamentals. We are particularly interested in two informational aspects: (1) the role of traders who are informed about the true state and/or (2)...

Persistent link: https://www.econbiz.de/10013046767

Bubbles and Incentives : An Experiment on Asset Markets

Robin, Stéphane - 2013

We explore the effects of competitive incentives and of their time horizon on the evolution of both asset prices and trading activity in experimental asset markets. We compare i) a no-bonus treatment based on Smith, Suchanek and Williams (1988); ii) a short-term bonus treatment in which bonuses...

Persistent link: https://www.econbiz.de/10013088899

Informational Asymmetries in Laboratory Asset Markets with State-Dependent Fundamentals

Keser, Claudia - 2014

Persistent link: https://www.econbiz.de/10013053112

Bubbles and financial professionals

Weitzel, Utz; Huber, Christoph; Huber, Jürgen; … - 2018

The efficiency of financial markets and their potential to produce bubbles are central topics in academic and professional debates. Yet, surprisingly little is known about the contribution of financial professionals to price efficiency. To close this gap, we run 86 experimental markets with 294...

Persistent link: https://www.econbiz.de/10011879289

Bubbles and financial professionals

Weitzel, Utz; Huber, Christoph; Lindner, Florian; … - 2018

Persistent link: https://www.econbiz.de/10011807267

The inflow-effect : trader inflow and bubble formation in asset markets

Kirchler, Michael; Bonn, Caroline; Huber, Jürgen; … - 2014 - This version: August 5, 2014

We investigate the impact of trader and cash inflow on bubble formation in asset markets with a novel design featuring heterogeneous information and a constant fundamental value. Implementing seven treatments we find that (i) only the joint inflow of traders and cash triggers bubbles...

Persistent link: https://www.econbiz.de/10010402768

Asset Price Volatility and Investment Horizons : An Experimental Investigation

Anufriev, Mikhail - 2020

We study the effects of the investment horizon on asset price volatility using a Learning to Forecast experiment. We … investment horizons such bubbles do not emerge and price volatility tends to be lower. This is due to the fact that, for longer … relatively stable before participants start their prediction task, price volatility remains small, with prices close to their …

Persistent link: https://www.econbiz.de/10012825408

Heterogeneity, spontaneous coordination and extreme events within large-scale and small-scale agent-based financial market models

Schmitt, Noemi; Westerhoff, Frank H. - 2016

small-scale agent-based model and show that our framework is able to produce bubbles and crashes, excess volatility …, fattailed return distributions, serially uncorrelated returns and volatility clustering. While lasting volatility outbursts …

Persistent link: https://www.econbiz.de/10011514740

Herding behavior and volatility clustering in financial markets

Schmitt, Noemi; Westerhoff, Frank H. - 2016

fundamental trading rules to determine their orders. Volatility clustering arises in our model due to speculators' herding …

Persistent link: https://www.econbiz.de/10011441292

Trend followers, contrarians and fundamentalists : explaining the dynamics of financial markets

Schmitt, Noemi; Westerhoff, Frank H. - 2019

We propose an empirically motivated financial market model in which speculators rely on trend-following, contrarian and fundamental trading rules to determine their orders. Speculators' probabilistic rule-selection behavior - the only type of randomness in our model - depends on past and future...

Persistent link: https://www.econbiz.de/10012014573