Financial Market in the Laboratory, an Experimental Analysis of some Stylized Facts

Andrea Morone ()

Papers on Strategic Interaction from Max Planck Institute of Economics, Strategic Interaction Group

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

Keywords: herd behaviour; fat tail volatility clustering (search for similar items in EconPapers)
JEL-codes: C91 D82 D83 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-exp, nep-fmk and nep-sea
Date: 2005-11
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Related works:
Journal Article: Financial markets in the laboratory: an experimental analysis of some stylized facts (2008)
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Persistent link: http://EconPapers.repec.org/RePEc:esi:discus:2005-27

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