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Financial Market in the Laboratory, an Experimental Analysis of some Stylized Facts Author info | Abstract | Publisher info | Download info | Related research | Statistics Andrea Morone ()
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This 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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Paper provided by Max Planck Institute of Economics, Strategic Interaction Group in its series Discussion Papers on Strategic Interaction with number
2005-27.
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Length: 38 pages
Date of creation: Nov 2005Date of revision:
Handle: RePEc:esi:discus:2005-27Contact details of provider: Postal: Kahlaische Strasse 10, D-07745 Jena Phone: +49-3641-68 65 Fax: +49-3641-68 69 90 Web page: http://www.econ.mpg.de/ More information through EDIRC
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Keywords: herd behaviour fat tail volatility clustering Other versions of this item:
Find related papers by JEL classification: C91 - Mathematical and Quantitative Methods - - Design of Experiments - - - Laboratory, Individual Behavior D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search, Learning, and Information
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