Comparing Laboratory Experiments and Agent-Based Simulations: The Value of Information and Market Efficiency in a Market with Asymmetric Information

Florian Hauser (), Jürgen Huber and Michael Kirchler
Additional contact information
Florian Hauser: Innsbruck University School of Management
Jürgen Huber: Innsbruck University School of Management
Michael Kirchler: Innsbruck University School of Management

Chapter Chapter 16 in Artificial Economics, 2009, pp 199-210 from Springer

Abstract: Abstract In this paper agent-based simulations are employed to deepen our understanding of results from experimental asset markets with asymmetric fundamental information. Beside the experimental treatment, we implement two simulation settings: a base-case simulation with all agents using their fundamental information and an equilibrium solution in which agents can choose from a set of three different strategies. We find that the behavior of the human subjects closely matches a strategy based on using the fundamental information provided, even when other strategies would have resulted in higher earnings. As a consequence, efficiency in the human markets is lower than in most of the simulated markets.

Keywords: Abnormal Return; Trading Volume; Trading Strategy; Reservation Price; Information Level (search for similar items in EconPapers)
Date: 2009
References: Add references at CitEc
Citations: View citations in EconPapers (2)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:spr:lnechp:978-3-642-02956-1_16

Ordering information: This item can be ordered from
http://www.springer.com/9783642029561

DOI: 10.1007/978-3-642-02956-1_16

Access Statistics for this chapter

More chapters in Lecture Notes in Economics and Mathematical Systems from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().