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Financial markets in the laboratory: an experimental analysis of some stylized facts

  • Andrea Morone

This paper provides 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 investigate the effect of the quantity and quality of information present in a financial market upon its stylized facts, showing how both the quality and quantity of information might have an impact on volatility clustering and the emergence of fat tail returns.

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Article provided by Taylor & Francis Journals in its journal Quantitative Finance.

Volume (Year): 8 (2008)
Issue (Month): 5 ()
Pages: 513-532

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Handle: RePEc:taf:quantf:v:8:y:2008:i:5:p:513-532
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