Financial Market in the Laboratory, anExperimental Analysis of some Stylized Facts

This paper purports to provide experimental evidence explaining a number of stylized facts associated with thebehaviour of financial returns, in particular, the fat tailed nature of their distribution and the persistence in theirvolatility. By means of a laboratory experiment, we will investigate the effect of quantity and quality of information,present in a financial market, upon its stylized facts, showing how both quality and quantity of information might havean impact on volatility clustering and the emergence of fat tail returns.