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Author : Paul Julian Gortner
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (11 download)
Download or read book Essays on Experimental Asset Markets written by Paul Julian Gortner and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kun Zhang
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (16 download)
Download or read book Essays on Bubbles and Crashes in Experimental Asset Markets written by Kun Zhang and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kun Zhang (Ph.D.)
Publisher :
ISBN 13 :
Total Pages : 432 pages
Book Rating : 4.:/5 (111 download)
Download or read book Essays on Bubbles and Crashes in Experimental Asset Markets written by Kun Zhang (Ph.D.) and published by . This book was released on 2015 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: The main result is that team decision-making does not result in smaller price bubbles. However team decision-making result in less variance among markets (sessions). Further more, my experimental design allows us to record the chat dialogues, which enable us to have insight into team decision-making. The content of the messages allows us explore the reasons behind traders' asks and bids.
Author : Yaron Lahav
Publisher :
ISBN 13 :
Total Pages : 185 pages
Book Rating : 4.:/5 (93 download)
Download or read book Beliefs and Decision Making in Asset Markets written by Yaron Lahav and published by . This book was released on 2007 with total page 185 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Stefan Palan
Publisher : Springer Science & Business Media
ISBN 13 : 3642021476
Total Pages : 179 pages
Book Rating : 4.6/5 (42 download)
Download or read book Bubbles and Crashes in Experimental Asset Markets written by Stefan Palan and published by Springer Science & Business Media. This book was released on 2009-10-03 with total page 179 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book describes a laboratory experiment designed to test the causes and properties of bubbles in financial markets and explores the question whether it is possible to design markets which avoid such bubbles and crashes. In the experiment, subjects were given the opportunity to trade in a stock market modeled after the seminal work of Smith et al. (1988). To account for the increasing importance of online betting sites, subjects were also allowed to trade in a digital option market. The outcomes shed new light on how subjects form and update their expectations, placing special emphasis on the bounded rationality of investors. Various analytical bubble measures found in the literature are collected, calculated, classified and presented for the first time. The very interesting new bubble measures "Dispersion Ratio", "Overpriced Transactions" and "Underpriced Transactions" are developed, making the book an important step towards the research goal of preventing bubbles and crashes in financial markets.
Author : Yaron Lahav
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (93 download)
Download or read book Beliefs and Decision Making in Asset Markets written by Yaron Lahav and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jason Childs
Publisher :
ISBN 13 :
Total Pages : 221 pages
Book Rating : 4.:/5 (181 download)
Download or read book Experiments in International Finance written by Jason Childs and published by . This book was released on 2002 with total page 221 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis contains three essays that are intended to be independent works. The essays all relate to applications of experimental methods to issues of international finance. The issues of experimental finance investigated are Rate of Return Parity and Currency Crises. The first essay investigates Rate of Return Parity using a laboratory environment in which two double auction asset markets are run simultaneously. Rate of Return Parity can then be used to predict the relative price of the assets in the two markets. The results of this experiment show that Rate of Return Parity is observed when assets are very similar and the exchange rate between the currencies in which the asset markets are denominated is perfectly fixed. The degree of Rate of Return Parity is reduced as the assets become dissimilar, or the exchange rate between currencies becomes unstable. The second essay employs robot asset traders to investigate some of the behavioural rules that subjects may have been using in the simultaneous asset markets of the first essay. The goal of the robot traders is to generate data that is qualitatively similar to that of the data generated in the experiment presented in the first essay. Of the various robot populations considered, profit maximizing robots that employ a weighted trend function in calculating the value of the asset combine with a single arbitrageur produce data that is most similar to that of human subjects. The third essay examines a laboratory environment in which a currency crisis is possible but not guaranteed. This was done using an environment similar to the one used to investigate Rate of Return Parity, with a fixed and known amount of reserves with which the fixed exchange rate would be defended. In the laboratory environment the exchange rate would change if the reserves fell to zero. In this manner whether or not there was a change in the exchange rate was completely under the control of the subjects. Results indicate that subjects are able to generate currency crises based on self-fulfilling prophecies. Overall the work of this thesis indicates that care should be taken when applying Rate of Return Parity to complex environments, and that the commitment of a central bank to defending a fixed exchange rate has an important role to play in determining if a currency crisis will occur.
Author : Daniel Friedman
Publisher : London : Department of Economics, University of Western Ontario
ISBN 13 :
Total Pages : 96 pages
Book Rating : 4.0/5 ( download)
Download or read book The Informational Efficiency of Experimental Asset Markets written by Daniel Friedman and published by London : Department of Economics, University of Western Ontario. This book was released on 1983 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alessandra Donini
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (968 download)
Download or read book Essays in Experimental Asset Pricing written by Alessandra Donini and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Katerina Straznicka
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (948 download)
Download or read book Laboratory Investigation of Asset Market Efficiency written by Katerina Straznicka and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis contains three essays that focus on asset market inefficiency using the experimental method. Financial market efficiency is crucial for good performance of the economy as a whole. Research in behavioral finance has shown that investors do not always behave fully rationally and systematically violate the assumptions of the traditional framework. It is therefore important to fully understand how individuals create their expectations regarding financial decisions, what influences them, how they affect the global market, and therefore financial market efficiency.Individual expectations about a financial decision are influenced by the manner assets are determined. The first essay investigates the impact of skewness of traded assets on first, aggregate market development, second, the way individuals perceive risky assets according to their risk preferences, and third, the stability of the assets' risk perception in time. Our results suggest that assets' skewness influences only marginally the asset market development, but directly effects the individual risk perception.Agents interacting in financial markets are not fully rational. Their decisions are influenced by their preferences, personality traits and the degree they are prone to behavioral biases. We suppose that the personal profile influences individual market behavior, such as trading activity, stock accumulation and performance, and also the aggregate market development, such as price dynamic or turnover of traded assets. This is the objective of the second essay. We find that the personality traits are the best predictors of both individual and aggregate market behavior.The third essay examines whether competitive incentives do contribute to the increase of mispricing in financial markets. If they do, does the extended time horizon of performance comparison help to improve the control against excessive risk-taking and therefore improve financial market efficiency. We find that the bonuses with extended time horizon help to diminish mispricing and improve the financial market efficiency.
Author : Sotirios Georganas
Publisher :
ISBN 13 :
Total Pages : 110 pages
Book Rating : 4.:/5 (649 download)
Download or read book Experimental and Theoretical Essays in Auctions and Financial Markets written by Sotirios Georganas and published by . This book was released on 2010 with total page 110 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Fredrik Nils Andersson
Publisher : Springer Science & Business Media
ISBN 13 : 1461509173
Total Pages : 249 pages
Book Rating : 4.4/5 (615 download)
Download or read book Experimental Economics: Financial Markets, Auctions, and Decision Making written by Fredrik Nils Andersson and published by Springer Science & Business Media. This book was released on 2011-06-28 with total page 249 pages. Available in PDF, EPUB and Kindle. Book excerpt: Experimental Economics: Financial Markets, Auctions, And Decision Making is based on research presented at the 20th Arne Ryde Symposium on Experimental Economics, held on November 9-11 at Lund University. The volume is divided into two parts. In Part I, interviews with prominent researchers in the field, all invited speakers at the Symposium, are presented. Those interviewed are Peter Bohm, Catherine Eckel, Werner Güth, John Hey, Daniel Kahneman, Alvin Roth, Vernon Smith, and Martin Weber. The interviews address important questions about basic experimental methods and the interpretation of results. In addition, these researchers answer questions relating to their specific fields and to their contributions at the Symposium. They are also asked to single out the most important findings in the field. Part II contains selected contributions from the conference. Topics covered include attitudes towards risk and inequality; pitfalls in experimental economics; analysis of trading-period duration; robustness in learning; video experiments on decision making and fairness; sequential prisoners' dilemmas; and collusion in auctions.
Author : Daniel Friedman
Publisher : Psychology Press
ISBN 13 : 9780415324021
Total Pages : 254 pages
Book Rating : 4.3/5 (24 download)
Download or read book Economics Lab written by Daniel Friedman and published by Psychology Press. This book was released on 2004 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook sketches the history of experimental economics before moving on to describe how to set up an economics experiment and to survey selected applications and the latest methods.
Author : Owen Powell
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (13 download)
Download or read book Experimental Asset Markets written by Owen Powell and published by . This book was released on 2015 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reviews new research on experimental asset markets, markets in which the value of the traded asset is homogeneous across all agents. Such markets have been shown to be prone to substantial mispricing, usually in the form of a bubble-and-crash pattern. This calls into question the efficiency of such markets. The studies reviewed consider how market efficiency is affected by the characteristics of traders (intelligence, knowledge, etc.), the properties of the traded asset (the time path of fundamental value, information provision, etc.), and the structure of the market (market interventions, compensation schemes, etc.). Finally, the paper summarizes with a discussion related to defining a unique measure of mispricing.
Author : Timothy Cason
Publisher : Springer Science & Business Media
ISBN 13 : 3642564488
Total Pages : 255 pages
Book Rating : 4.6/5 (425 download)
Download or read book Advances in Experimental Markets written by Timothy Cason and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 255 pages. Available in PDF, EPUB and Kindle. Book excerpt: Experimental methods are now a mainstream empirical methodology in economics. The papers in this volume represent some recent developments in research on experimental markets. The articles span a variety of topics related to experimental markets, including auctions, taxation, institutional differences, coordination in markets, and learning. Contributors to the volume include many of the most distinguished researchers in the area.
Author : Rasmus Pank Roulund
Publisher :
ISBN 13 :
Total Pages : 108 pages
Book Rating : 4.:/5 (11 download)
Download or read book Essays in Empirical Economics written by Rasmus Pank Roulund and published by . This book was released on 2019 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt: This first chapter is co-authored with Nicolás Aragón and examines how participant and market confidence affect the outcomes in an experimental asset market where the fundamental value is known by all participants. Such a market should, in theory, clear at the expected value in each period. However, the literature has shown that bubbles often occur in these markets. We measure the confidence of each participant by asking them to forecast the one-period-ahead price as a discrete probability mass distribution. We find that confidence not only affects price-formation in markets, but is important in explaining the dynamics of bubbles. Moreover, as traders’ confidence grows, they become increasingly more optimistic, thus increasing the likelihood of price bubbles. The second chapter also deals with expectations and uncertainty, but from a different angle. It asks how increased uncertainty affects economic demand in a particular sector, using a discrete-choice demand framework. To investigate this issue I examine empirically to what extent varying uncertainty affects the consumer demand for flight traffic using us micro demand data. I find that the elasticity of uncertainty on demand is economically and statistically significant. The third chapter presents a more practical side to the issue examined in the first chapter. It describes how to elicit participants’ expectations in an economic experiment. The methodology is based on Harrison et al. (2017). The tool makes it easier for participants in economic experiments to forecast the movements of a key variable as discrete values using a discrete probability mass distribution that can be “drawn” on a virtual canvas using the mouse. The module I wrote is general enough that it can be included in other economic experiments.
Author : Bulent Guler
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (133 download)
Download or read book Trading Institutions in Experimental Asset Markets written by Bulent Guler and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
