Price Formation and Trade in Experimental Asset Markets PDF Download
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Author: Christoph Brunner
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Christoph Brunner
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Daniel Friedman
Publisher: London : Department of Economics, University of Western Ontario
ISBN:
Category : Bonds
Languages : en
Pages : 96
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Author: Volodymyr Lugovskyy
Publisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 35
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Author: Andreas Oehler
Publisher:
ISBN:
Category :
Languages : en
Pages : 69
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Book Description
This paper reports the results of 16 experimental asset markets that explore the effects of trade transparency on the price formation process and its results using a more realistic design than related studies. The open orderbook does not improve informational efficiency and does not result in higher liquidity (lower transaction costs). An increase in information intensity leads to both higher trading volume and higher volatility in both orderbook treatments. The comparison shows that they only differ in price volatility which is higher with an open orderbook. The market results mentioned above are confirmed by analyses on the individual level.
Author: Stefan Palan
Publisher: Springer
ISBN: 9783642021466
Category : Business & Economics
Languages : en
Pages : 171
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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: 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 : Disclosure of information
Languages : en
Pages : 30
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Author: Tim A. Carle
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Daniel Friedman
Publisher:
ISBN:
Category : Capital market
Languages : en
Pages : 92
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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.
