| Description |
1 online resource (xv, 171 pages) : illustrations |
| Series |
Lecture notes in economics and mathematical systems ; 626 |
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Lecture notes in economics and mathematical systems ; 626.
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| Contents |
Cover -- Contents -- List of Abbreviations -- List of Symbols -- List of Figures -- List of Tables -- List of Examples -- 1 Introduction and Motivation -- 1.1 Prediction Markets and Online Betting Sites -- 1.2 Bubbles and Crashes in Financial Markets -- 1.3 The Role of Derivative Markets in Informational Efficiency -- 1.4 Methodology -- 1.5 Scientific Relevance -- 2 Literature Review -- 2.1 Literature on Market Efficiency -- 2.1.1 Literature in Favor of the Efficient Market Hypothesis -- 2.1.2 Literature on Market Inefficiencies and Anomalies -- 2.1.3 Price Bubbles -- 2.2 Literature on Information and Derivative Markets -- 2.3 Literature on Prediction Markets, Market Structure, and the Double Auction Mechanism -- 2.4 Literature on Experiments in Economics -- 2.4.1 Expectations and Equilibrium Models in Experimental Asset Markets -- 2.4.2 The Role of Experience in Experimental Asset Markets -- 2.4.3 The Baseline Experimental Market and its Extensions -- 2.4.4 Alternative Treatment Designs -- 2.4.5 Efficiency in Experimental Asset Markets -- 3 Experimental Design and Methodology -- 3.1 Interface Design -- 3.2 Stock Market -- 3.3 Digital Option Market -- 3.4 Description of the Experimental Sessions -- 3.4.1 Subject Pool -- 3.4.2 Session Layout -- 4 Results -- 4.1 Experimental Results -- 4.1.1 Descriptive Statistics -- 4.1.2 Measures of Bubble Severity -- 4.1.3 Subject Performance -- 4.2 Interpretation of Behavioral Regularities -- 4.2.1 The Hypothesis of Observational Belief-Adaptation -- 4.2.2 The Haruvy, Lahav and Noussair (2007) Study -- 4.2.3 Bounded Rationality and Irrationality -- 5 Conclusion and Outlook -- 5.1 Summary of the Contribution -- 5.2 Outlook and Suggestions for Future Research -- 6 Appendices -- 6.1 Explanation of Bubble Measure Calculations -- 6.2 Detailed Price Plots -- 6.3 Statistical Analysis of Questionnaire Responses -- Bibliography -- Index |
| Summary |
This book describes a laboratory experiment designed to test the causes and properties of bubbles in financial markets and explores the question whether it is possible to design markets which avoid such bubbles and crashes. In the experiment, subjects were given the opportunity to trade in a stock market modeled after the seminal work of Smith et al. (1988). To account for the increasing importance of online betting sites, subjects were also allowed to trade in a digital option market. The outcomes shed new light on how subjects form and update their expectations, placing special emphasis on the bounded rationality of investors. Various analytical bubble measures found in the literature are collected, calculated, classified and presented for the first time. The very interesting new bubble measures "Dispersion Ratio", "Overpriced Transactions" and "Underpriced Transactions" are developed, making the book an important step towards the research goal of preventing bubbles and crashes in financial markets. In addition, the book formulates concrete new research hypotheses for future studies |
| Bibliography |
Includes bibliographical references (pages 159-167) and index |
| Notes |
Print version record |
| Subject |
Capital market -- Mathematical models
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International finance -- Mathematical models
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BUSINESS & ECONOMICS -- Finance.
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Economie de l'entreprise.
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Science économique.
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Affaires.
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Capital market -- Mathematical models
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International finance -- Mathematical models
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Eingeschränkte Rationalität
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Experimentelle Wirtschaftsforschung
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Aktienmarkt
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Spekulative Blase
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Börsenkrach
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Econometrische modellen.
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Financiële crises.
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| Form |
Electronic book
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| ISBN |
9783642021473 |
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3642021476 |
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9783642021480 |
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3642021484 |
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