An exploration of commonly observed stylized facts with data from experimental asset markets

Michael Kirchler and Jürgen Huber

Physica A: Statistical Mechanics and its Applications, 2009, vol. 388, issue 8, 1631-1658

Abstract: We analyze data from experimental asset markets with pooled linear regression models to shed some light on the emergence of fat tails and volatility clustering in return distributions. Our data suggest that the arrival of new information is the most important cause for both stylized facts. After new information arrives we see spikes in volatility as this information is digested in the market. We also find that uninformed traders contribute significantly more to fat tails than do informed traders and that the heterogeneity in fundamental information leads to larger returns.

Keywords: Stylized facts; Experimental economics; Laboratory markets; Fat tails; Volatility clustering (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437108010364
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:388:y:2009:i:8:p:1631-1658

DOI: 10.1016/j.physa.2008.12.034

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().