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Comparing Laboratory Experiments and Agent-Based Simulations: The Value of Information and Market Efficiency in a Market with Asymmetric Information

In: Artificial Economics

Author

Listed:
  • Florian Hauser

    (Innsbruck University School of Management)

  • Jürgen Huber

    (Innsbruck University School of Management)

  • Michael Kirchler

    (Innsbruck University School of Management)

Abstract

In this paper agent-based simulations are employed to deepen our understanding of results from experimental asset markets with asymmetric fundamental information. Beside the experimental treatment, we implement two simulation settings: a base-case simulation with all agents using their fundamental information and an equilibrium solution in which agents can choose from a set of three different strategies. We find that the behavior of the human subjects closely matches a strategy based on using the fundamental information provided, even when other strategies would have resulted in higher earnings. As a consequence, efficiency in the human markets is lower than in most of the simulated markets.

Suggested Citation

  • Florian Hauser & Jürgen Huber & Michael Kirchler, 2009. "Comparing Laboratory Experiments and Agent-Based Simulations: The Value of Information and Market Efficiency in a Market with Asymmetric Information," Lecture Notes in Economics and Mathematical Systems, in: Cesáreo Hernández & Marta Posada & Adolfo López-Paredes (ed.), Artificial Economics, chapter 0, pages 199-210, Springer.
    • Handle: RePEc:spr:lnechp:978-3-642-02956-1_16
    DOI: 10.1007/978-3-642-02956-1_16
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    Cited by:

    1. Robert Merl, 2021. "Literature Review of Experimental Asset Markets with Insiders," Working Paper Series, Social and Economic Sciences 2021-04, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz.
    2. Merl, Robert, 2022. "Literature review of experimental asset markets with insiders," Journal of Behavioral and Experimental Finance, Elsevier, vol. 33(C).

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