Fat tails and volatility clustering in experimental asset markets

DOI10.1016/j.jedc.2007.01.009zbMath1201.91230OpenAlexW2021565296MaRDI QIDQ1017068

Michael Kirchler, Juergen Huber

Publication date: 18 May 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2007.01.009

zbMATH Keywords

asymmetric informationexperimental economicsvolatility clusteringstylized factsfat tails

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Experimental studies (91A90)

Related Items (9)

Market risk and Bitcoin returns ⋮ Fat tails arise endogenously from supply/demand, with or without jump processes ⋮ Information driving force and its application in agent-based modeling ⋮ Structural Clustering of Volatility Regimes for Dynamic Trading Strategies ⋮ On the role of heterogeneous and imperfect information in a laboratory financial market ⋮ Price equations with symmetric supply/demand; implications for fat tails ⋮ Stable mixture GARCH models ⋮ Dynamic instability in generic model of multi-assets markets ⋮ Underreaction to fundamental information and asymmetry in mispricing between bullish and bearish markets. An experimental study

Uses Software

• Z-Tree

Cites Work

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