Financial markets in the laboratory: an experimental analysis of some stylized facts

Andrea Morone

Quantitative Finance, 2008, vol. 8, issue 5, 513-532

Abstract: This paper provides 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 investigate the effect of the quantity and quality of information present in a financial market upon its stylized facts, showing how both the 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)
Date: 2008
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Citations: View citations in EconPapers (22)

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Working Paper: Financial Market in the Laboratory, an Experimental Analysis of some Stylized Facts (2005)
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DOI: 10.1080/14697680701463786

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