Asset Market Experiments with Diverse Information

2021 ◽  
Author(s):  
Dominik Schmidt ◽  
Thomas Stöckl
Keyword(s):  
Asset Market ◽  
Market Experiments

Asset Market Experiments, 1986-1990

1996 ◽  
Author(s):  
Daniel Friedman ◽  
Thomas E. Copeland
Keyword(s):  
Asset Market ◽  
Market Experiments

scholarly journals Retrading, production, and asset market performance

2015 ◽  
Vol 112 (47) ◽  
pp. 14557-14562 ◽  
Author(s):  
Steven D. Gjerstad ◽  
David Porter ◽  
Vernon L. Smith ◽  
Abel Winn
Keyword(s):  
Effective Treatment ◽  
Laboratory Experiments ◽  
Flow Model ◽  
Asset Markets ◽  
Asset Market ◽  
Price Bubbles ◽  
Equilibrium Prices ◽  
Consumption Values ◽  
Market Experiments ◽  
Stock Flow

Prior studies have shown that traders quickly converge to the price–quantity equilibrium in markets for goods that are immediately consumed, but they produce speculative price bubbles in resalable asset markets. We present a stock-flow model of durable assets in which the existing stock of assets is subject to depreciation and producers may produce additional units of the asset. In our laboratory experiments inexperienced consumers who can resell their units disregard the consumption value of the assets and compete vigorously with producers, depressing prices and production. Consumers who have first participated in experiments without resale learn to heed their consumption values and, when they are given the option to resell, trade at equilibrium prices. Reproducibility is therefore the most natural and most effective treatment for suppression of bubbles in asset market experiments.

Asset Market Experiments

2006 ◽  
Author(s):  
Daniel Friedman ◽  
Hugh M Kelley
Keyword(s):  
Asset Market ◽  
Market Experiments

scholarly journals Cognitive Variability Matches Speculative Price Dynamics

2021 ◽  
Author(s):  
Jian-Qiao Zhu ◽  
Jake Spicer ◽  
Adam N Sanborn ◽  
Nick Chater
Keyword(s):  
General Purpose ◽  
Individual Variability ◽  
Asset Market ◽  
External Information ◽  
Price Changes ◽  
Volatility Clustering ◽  
Price Series ◽  
Temporal Intervals ◽  
Heavy Tailed ◽  
Market Experiments

Price series in speculative markets show a common set of statistical properties, termed ‘stylised facts’. While some facts support simple efficient markets composed of homogenous rational agents (e.g., the absence of autocorrelation in price increments), others do not (e.g., heavy-tailed distributions of price changes and volatility clustering) (Campbell et al., 1997; Fama, 1970; Mandelbrot, 1966; Mandelbrot, 1963; Cont, 2001). Collectively, these facts have been explained by either more complex markets or markets of heterogeneous agents (Cont 2007; Giardina & Bouchaud, 2003; Hommes, 2006; Barberis & Thaler, 2005), with asset-market experiments validating the latter approach (Hommes 2011; Kirchler & Huber, 2009). However, it is unknown whether markets are necessary to produce these features. Here we show that within-individual variability alone is sufficient to produce many of the stylised facts. In a series of experiments, we increasingly simplified a price prediction task by first removing external information, then removing any interaction between participants. Finally, we removed any resemblance to an asset market by asking participants to simply reproduce temporal intervals. All three experiments produced the main stylised facts. The robustness of the results across tasks suggests a common cognitive-level mechanism underlies these patterns, and we identify a candidate that is a general-purpose approximation to rational behavior. We recommend a stronger focus on individual psychology in macroeconomic theory, and particularly within-individual variability. Combining these insights with existing economic mechanisms could help explain price changes in speculative markets.

Asset Market Experiments, 1986-1990

1996 ◽  
Author(s):  
Daniel Friedman ◽  
Thomas E. Copeland
Keyword(s):  
Asset Market ◽  
Market Experiments
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