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Fat tails and volatility clustering in experimental asset markets

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Author Info
Kirchler, Michael
Huber, Jurgen
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File URL: http://www.sciencedirect.com/science/article/B6V85-4N4S0D4-1/2/4a2cd35f3ccb7b559d433b8168cdaa92
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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 31 (2007)
Issue (Month): 6 (June)
Pages: 1844-1874
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Handle: RePEc:eee:dyncon:v:31:y:2007:i:6:p:1844-1874

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  1. Bence Toth & Enrico Scalas, 2007. "The value of information in financial markets: An agent-based simulation," Quantitative Finance Papers 0712.2687, arXiv.org. [Downloadable!]
  2. Giulio Bottazzi & Giovanna Devetag & Francesca Pancotto, 2009. "Does Volatility matter? Expectations of price return and variability in an asset pricing experiment," LEM Papers Series 2009/02, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
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This page was last updated on 2009-12-5.

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