Bubbles and Crashes in Experimental Asset Markets PDF Download
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Author: Stefan Palan
Publisher: Springer Science & Business Media
ISBN: 3642021476
Category : Business & Economics
Languages : en
Pages : 179
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Book Description
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: Stefan Palan
Publisher: Springer Science & Business Media
ISBN: 3642021476
Category : Business & Economics
Languages : en
Pages : 179
Get Book Here
Book Description
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: Stefan Palan
Publisher: Springer
ISBN: 9783642021466
Category : Business & Economics
Languages : en
Pages : 171
Get Book Here
Book Description
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: Stefan Palan
Publisher: Springer
ISBN: 9783642021466
Category : Business & Economics
Languages : en
Pages : 171
Get Book Here
Book Description
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: Kun Zhang
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Kun Zhang (Ph.D.)
Publisher:
ISBN:
Category : Asset-liability management
Languages : en
Pages : 432
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Book Description
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: Richard Hollis Day
Publisher: Oxford University Press, USA
ISBN:
Category : Business & Economics
Languages : en
Pages : 360
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Book Description
Advances in physics, computers, and mathematics have made it possible to illustrate an astonishing array of potential behavior that can occur when nonlinear interactions are present. As Prigogine explains from a physicist's perspective, the fundamental role of instability and bounded rationality provide more precise understanding for evolution and changes. This volume considers these developments from various fields in the context of economic science. The work starts with a general non-mathematical discussion, introducing the major themes--nonlinearity, dynamical systems, and evolution in economic processes. The work continues with nonlinear analysis of macroeconomic growth and fluctuations. It describes analyses of economic adaptation, learning, and self-organization. The volume also scrutinizes a specific market--equities using nonlinear analysis, controlled experiments, and statistical inference when nonlinearity plays an essential role in data generation. The volume closes with an historical reflection by Richard Goodwin and a roundtable discussion on basic issues and new challenges in nonlinear economic dynamics.
Author: Brice Corgnet
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Daniel Hosp
Publisher: GRIN Verlag
ISBN: 3656270449
Category : Business & Economics
Languages : en
Pages : 19
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Book Description
Seminar paper from the year 2012 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,00, University of Innsbruck, language: English, abstract: Bubbles in Asset Market gibt eine kurzen Überblick darüber, wie "Blasen" in Finanzmärkten entstehen könnne und wie deren Entstehung anhand von Experimenten bisher getestet wurde. Darauf aufbauen gibt es empfehlungen für eine geändertes Design der Experimente um bessre Ergebnisse erzielen zu können.
Author: Lucy F. Ackert
Publisher:
ISBN:
Category :
Languages : en
Pages : 40
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Book Description
The robustness of bubbles and crashes in markets for finitely lived assets is perplexing. This paper reports the results of experimental asset markets in which participants trade two assets. In some markets, price bubbles form. In these markets, traders will pay even higher prices for the asset with lottery characteristics, i.e., a claim on a large, unlikely payoff. However, institutional design has a significant impact on deviations in prices from fundamental values, particularly for an asset with lottery characteristics. Price run-ups and crashes are moderated when traders finance purchases of the assets themselves and are allowed to short sell.
Author: Ciril Bosch-Rosa
Publisher:
ISBN:
Category :
Languages : en
Pages : 52
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Book Description
Smith et al. (1988) reported large bubbles and crashes in experimental asset markets, a result that has been replicated many times. Here we test whether the occurrence of bubbles depends on the experimental subjects' cognitive sophistication. In a two-part experiment, we first run a battery of tests to assess the subjects' cognitive sophistication and classify them into low or high levels. We then invite them separately to two asset market experiments populated only by subjects with either low or high cognitive sophistication. We observe classic bubble and crash patterns in the sessions populated by subjects with low levels of cognitive sophistication. Yet, no bubbles or crashes are observed with our sophisticated subjects, indicating that cognitive sophistication of the experimental market participants has a strong impact on price efficiency.
