Andrea Morone(2008) “Financial markets in the laboratory: an experimental analysis of some stylized facts," Quantitative Finance, Volume 8, Issue 5, pages 513-532. [working paper PDF]; Source: DOI
實驗說明: An example of the Power Point presentation can be found at http://www-users.york.ac.uk/~jdh1/papers/instructions.ppt.
Summary by Yinung
此篇是以實驗建構 single-unit double-auction 財務市場，進行交易，再檢驗成交價的 times-series 性質， 包含：
1. Normality (JB-test)
3. ADF tests
4. Hill estimator (for testing tail distribution)
5. Volatility clustering
6. autocorrelation (returns, squared returns, absolute returns, Box-Ljung)
1. 只用一般的 double-auction 交易市場之設定 ＋ 資訊品質 (猜中機率) 高／低 ＋ 獲得資訊成本高／低，似乎沒有明確找到財務交易 return 的 AR丶GARCH 等常見之資料型態 (stylized facts)，也沒有分析為何導致此現象之分析說明
2. 因為在 10 periods 中, 每一個 period 都是獨立, 不解如何能以 time-series 的方式來進行相關檢定?
Pagan (1996) provided an authoritative survey of these stylized facts and of the econometric techniques how to
Various experimental studies attempted to analyse the role of information within financial markets…. can categorize these studies into three groups:
- Studies addressing the issue of dissemination of information from a group of identical informed agents (insiders) to a group of identical un-informed agents.
- Studies addressing the issue of aggregation of different pieces of information owned by different traders and its dissemination.
- Studies addressing the issue of information’s production.
Plott and Sunder (1982) studied the dissemination of information by running an experiment
Plott and Sunder (1988) designed an experiment on information aggregation
The extremely important aspect of expectation formation and learning in dynamic experimental markets with expectations feedback was partially addressed by Smith, Suchanek and Williams (1988). Recently, Hommes et al (1999, 2000) and Sonnemans et al (1999) tested for expectation formation in a cobweb model (for a survey see also Hommes, 2001).
The experiment is based on at least two important strands of literature.
- The first of these strands is that of herd behaviour in a non-market context. The key references are Banerjee (1992) and Bikhchandani, Hirshleifer and Welch (1992), both of which showed that herd behaviour may result from private information not publicly shared.
- The second strand of literature motivating this paper is that of information aggregation in market contexts. A very early reference is the classic paper by Grossman and Stiglitz (1966) which showed that uninformed traders in a market context can become informed through the price in such a way that private information is aggregated correctly and efficiently.
A summary of the progress of this strand of literature can be found in the paper by Plott (2000).
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.