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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

Market efficiency, trading institutions and information mirages : evidence from an experimental asset market

Morone, Andrea; Nuzzo, Simone - 2016

We investigate traders’ behaviour in an experimental asset market where uninformed agents cannot be sure about the presence of insiders. In this framework we compare two trading institutions: the continuous double auction and the call market. The purpose of this comparison is to test which of...

Persistent link: https://www.econbiz.de/10011784567

Arbitrage Bots in Experimental Asset Markets

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

-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 liquidity. All arbitrage robot traders we examine generate greater … conformity to the law-of-one-price across the twin markets. However, only the liquidity providing arbitrage robot trader moves …

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

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

Algorithmic Trading, Price Efficiency and Welfare : An Experimental Approach

Corgnet, Brice; DeSantis, Mark; Siemroth, Christoph - 2023

We develop a novel experimental paradigm to study the causal impact of trading algorithms on informational efficiency, liquidity, and welfare. In our design, public information about the asset value is revealed during trading, which gives algorithms a reaction speed advantage. We distinguish...

Persistent link: https://www.econbiz.de/10014351067

Learning from the past : the role of personal experiences in artificial stock markets

Lenhard, Gregor - 2024

Recent survey evidence suggests that investors form beliefs about future stock returns by predominantly extrapolating their own experience: They overweight returns they have personally experienced while underweighting returns from earlier years and consequently expect high (low) stock market...

Persistent link: https://www.econbiz.de/10014490050

Informational Price Cascades and Non-Aggregation of Asymmetric Information in Experimental Asset Markets

Shachat, Jason M. - 2011

We report on experimental markets for a contingent claim asset that eight subjects traded for nine periods before the state was revealed. There is an informative binary signal that arrives after each of the first eight trading rounds. In our baseline treatment the realization of the signal is...

Persistent link: https://www.econbiz.de/10013126895

Ensembles of Crowds and Computers : Experiments in Forecasting

Creamer, Germán G. - 2015

This paper explores the power of news sentiment to predict financial returns, in particular the returns of a set of European stocks. Building on past decision support work going back to the Delphi method this paper describes a text analysis expert weighting algorithm that aggregates the...

Persistent link: https://www.econbiz.de/10013013782

Market Liquidity and Price Efficiency : A Field Experiment

Brown, Alasdair - 2017

We conduct a field experiment to see if market liquidity has a causal effect on price efficiency and, if so, why. We randomly provide liquidity in certain horse race betting markets, and not in others. We find that prices in treated markets are indeed more efficient than prices in control...

Persistent link: https://www.econbiz.de/10012969323

Longshots, Overconfidence and Efficiency on the Iowa Electronic Market

Berg, Joyce E. - 2017

The prediction market literature proposes that markets efficiently incorporate all available information. In contrast, behavioral finance assumes individual decision-making biases affect financial markets. We examine both using Iowa Electronic Market (IEM) data. We ask whether markets appear...

Persistent link: https://www.econbiz.de/10012976462