Cross−impact and price bubbles in hybrid financial markets

Philipp Chapkovski, Francesco Cordoni, Caterina Giannetti and Fabrizio Lillo

Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), 2025, vol. 118, issue C

Abstract: We explore cross-impact in a hybrid experimental market with human and artificial agents, varying liquidity across treatments. In treatment Separated participants hold distinct portfolios for two stocks, while in Integrated they hold a unique portfolio, i.e., can freely move capital between assets. Larger bubbles and asymmetric cross-market impact occur with unique portfolios and decreasing value asset. When comparing experimental and synthetic data, cross-impact is attributed to human players, especially when stock values are close to each other. Artificial players also react to human presence, contributing to cross-impact.

Keywords: Market-impact; Cross-impact; Hybrid-experimental market; Bubbles; Artificial traders (search for similar items in EconPapers)
JEL-codes: C91 D47 G14 G17 G40 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:soceco:v:118:y:2025:i:c:s2214804325000643

DOI: 10.1016/j.socec.2025.102398

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