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Cross−impact and price bubbles in hybrid financial markets

Author

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  • Chapkovski, Philipp
  • Cordoni, Francesco
  • Giannetti, Caterina
  • Lillo, Fabrizio

Abstract

We explore cross-impact in a hybrid experimental market with human and artificial agents, varying liquidity across treatments. In treatment Separated participants hold distinct portfolios for two stocks, while in Integrated they hold a unique portfolio, i.e., can freely move capital between assets. Larger bubbles and asymmetric cross-market impact occur with unique portfolios and decreasing value asset. When comparing experimental and synthetic data, cross-impact is attributed to human players, especially when stock values are close to each other. Artificial players also react to human presence, contributing to cross-impact.

Suggested Citation

  • Chapkovski, Philipp & Cordoni, Francesco & Giannetti, Caterina & Lillo, Fabrizio, 2025. "Cross−impact and price bubbles in hybrid financial markets," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 118(C).
    • Handle: RePEc:eee:soceco:v:118:y:2025:i:c:s2214804325000643
    DOI: 10.1016/j.socec.2025.102398
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    JEL classification:

    • C91 - Mathematical and Quantitative Methods - - Design of Experiments - - - Laboratory, Individual Behavior
    • D47 - Microeconomics - - Market Structure, Pricing, and Design - - - Market Design
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G40 - Financial Economics - - Behavioral Finance - - - General

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