Financial Market in the Laboratory, an Experimental Analysis of some Stylized Facts
AbstractThis paper purports to provide experimental evidence explaining a number of stylized facts associated with the behaviour of financial returns, in particular, the fat tailed nature of their distribution and the persistence in their volatility. 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 have an impact on volatility clustering and the emergence of fat tail returns.
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Bibliographic InfoPaper provided by Max Planck Institute of Economics, Strategic Interaction Group in its series Papers on Strategic Interaction with number 2005-27.
Length: 38 pages
Date of creation: Nov 2005
Date of revision:
Other versions of this item:
- Andrea Morone, 2008. "Financial markets in the laboratory: an experimental analysis of some stylized facts," Quantitative Finance, Taylor and Francis Journals, vol. 8(5), pages 513-532.
- C91 - Mathematical and Quantitative Methods - - Design of Experiments - - - Laboratory, Individual Behavior
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
- D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search, Learning, and Information
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-11-12 (All new papers)
- NEP-EXP-2005-11-12 (Experimental Economics)
- NEP-FMK-2005-11-12 (Financial Markets)
- NEP-SEA-2005-11-12 (South East Asia)
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