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Market experiments with multiple assets: A survey

In: Handbook of Experimental Finance

Author

Listed:
  • John Duffy
  • Jean Paul Rabanal
  • Olga A. Rud

Abstract

In this chapter, we review the small but growing experimental literature on trade in multiple assets as well as trade in more complex financial instruments, such as derivatives and indices. We discuss the impact of multiple asset trade on arbitrage, risk premia, and price co-movement across multiple assets. Our literature survey suggests that while single asset SSW environments may be more prone to mispricing and/ or bubbles, adding related assets (e.g. indices and derivatives) can mitigate these deviations. Further, correlations in payoffs across different assets and the cognitive abilities of subjects are important contributing factors in the pricing of assets in multiple asset markets.

Suggested Citation

  • John Duffy & Jean Paul Rabanal & Olga A. Rud, 2022. "Market experiments with multiple assets: A survey," Chapters, in: Sascha Füllbrunn & Ernan Haruvy (ed.), Handbook of Experimental Finance, chapter 18, pages 213-224, Edward Elgar Publishing.
    • Handle: RePEc:elg:eechap:20035_18
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    Cited by:

    1. 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).
    2. Weber, Matthias & Duffy, John & Schram, Arthur, 2024. "Regulation and the demand for credit default swaps in experimental bond markets," European Economic Review, Elsevier, vol. 165(C).
    3. Duan, Jieyi & Hanaki, Nobuyuki, 2023. "The impact of asset purchases in an experimental market with consumption smoothing motives," Journal of Economic Dynamics and Control, Elsevier, vol. 156(C).
    4. Angerer, Martin & Neugebauer, Tibor & Shachat, Jason, 2023. "Arbitrage bots in experimental asset markets," Journal of Economic Behavior & Organization, Elsevier, vol. 206(C), pages 262-278.
    5. Duffy, John & Rabanal, Jean Paul & Rud, Olga A., 2023. "Market reactions to stock splits: Experimental evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 214(C), pages 325-345.

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    JEL classification:

    • G00 - Financial Economics - - General - - - General

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