Bubbles And Crashes In Experimental Asset Markets

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Bubbles and Crashes in Experimental Asset Markets

Stefan Palan
Bubbles and Crashes in Experimental Asset Markets Book PDF

Author : Stefan Palan
Publisher : Springer Science & Business Media
Page : 179 pages
File Size : 55,7 Mb
Release : 2009-10-03
Category : Business & Economics
ISBN : 9783642021473

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Bubbles and Crashes in Experimental Asset Markets by Stefan Palan Pdf

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.

Nonlinear Dynamics and Evolutionary Economics

Richard Hollis Day,Ping Chen
Nonlinear Dynamics and Evolutionary Economics Book PDF

Author : Richard Hollis Day,Ping Chen
Publisher : Oxford University Press, USA
Page : 360 pages
File Size : 42,8 Mb
Release : 1993
Category : Business & Economics
ISBN : STANFORD:36105003417305

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Nonlinear Dynamics and Evolutionary Economics by Richard Hollis Day,Ping Chen Pdf

Advances in physics, computers, and mathematics have made it possible to illustrate an astonishing array of potential behavior that can occur when nonlinear interactions are present. As Prigogine explains from a physicist's perspective, the fundamental role of instability and bounded rationality provide more precise understanding for evolution and changes. This volume considers these developments from various fields in the context of economic science. The work starts with a general non-mathematical discussion, introducing the major themes--nonlinearity, dynamical systems, and evolution in economic processes. The work continues with nonlinear analysis of macroeconomic growth and fluctuations. It describes analyses of economic adaptation, learning, and self-organization. The volume also scrutinizes a specific market--equities using nonlinear analysis, controlled experiments, and statistical inference when nonlinearity plays an essential role in data generation. The volume closes with an historical reflection by Richard Goodwin and a roundtable discussion on basic issues and new challenges in nonlinear economic dynamics.

Banking Crises

Garett Jones
Banking Crises Book PDF

Author : Garett Jones
Publisher : Springer
Page : 350 pages
File Size : 53,5 Mb
Release : 2016-01-26
Category : Business & Economics
ISBN : 9781137553799

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Banking Crises by Garett Jones Pdf

Why do banks collapse? Are financial systems more fragile in recent decades? Can policies to fix the banking system do more harm than good? What's the history of banking crises? With dozens of brief, non-technical articles by economists and other researchers, Banking Crises offers answers from diverse scholarly viewpoints.

Handbook on Systemic Risk

Jean-Pierre Fouque,Joseph A. Langsam
Handbook on Systemic Risk Book PDF

Author : Jean-Pierre Fouque,Joseph A. Langsam
Publisher : Cambridge University Press
Page : 993 pages
File Size : 51,8 Mb
Release : 2013-05-23
Category : Business & Economics
ISBN : 9781107023437

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Handbook on Systemic Risk by Jean-Pierre Fouque,Joseph A. Langsam Pdf

The Handbook on Systemic Risk, written by experts in the field, provides researchers with an introduction to the multifaceted aspects of systemic risks facing the global financial markets. The Handbook explores the multidisciplinary approaches to analyzing this risk, the data requirements for further research, and the recommendations being made to avert financial crisis. The Handbook is designed to encourage new researchers to investigate a topic with immense societal implications as well as to provide, for those already actively involved within their own academic discipline, an introduction to the research being undertaken in other disciplines. Each chapter in the Handbook will provide researchers with a superior introduction to the field and with references to more advanced research articles. It is the hope of the editors that this Handbook will stimulate greater interdisciplinary academic research on the critically important topic of systemic risk in the global financial markets.

Asset Pricing Under Asymmetric Information

Markus Konrad Brunnermeier
Asset Pricing Under Asymmetric Information Book PDF

Author : Markus Konrad Brunnermeier
Publisher : Oxford University Press, USA
Page : 264 pages
File Size : 54,9 Mb
Release : 2001
Category : Business & Economics
ISBN : 0198296983

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Asset Pricing Under Asymmetric Information by Markus Konrad Brunnermeier Pdf

The role of information is central to the academic debate on finance. This book provides a detailed, current survey of theoretical research into the effect on stock prices of the distribution of information, comparing and contrasting major models. It examines theoretical models that explain bubbles, technical analysis, and herding behavior. It also provides rational explanations for stock market crashes. Analyzing the implications of asymmetries in information is crucial in this area. This book provides a useful survey for graduate students.

Handbook of Experimental Economics Results

Charles R. Plott,Vernon L. Smith
Handbook of Experimental Economics Results Book PDF

Author : Charles R. Plott,Vernon L. Smith
Publisher : Elsevier
Page : 1184 pages
File Size : 48,8 Mb
Release : 2008-08-21
Category : Business & Economics
ISBN : 9780080887968

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Handbook of Experimental Economics Results by Charles R. Plott,Vernon L. Smith Pdf

Experimental methods in economics respond to circumstances that are not completely dictated by accepted theory or outstanding problems. While the field of economics makes sharp distinctions and produces precise theory, the work of experimental economics sometimes appear blurred and may produce results that vary from strong support to little or partial support of the relevant theory. At a recent conference, a question was asked about where experimental methods might be more useful than field methods. Although many cannot be answered by experimental methods, there are questions that can only be answered by experiments. Much of the progress of experimental methods involves the posing of old or new questions in a way that experimental methods can be applied. The title of the book reflects the spirit of adventure that experimentalists share and focuses on experiments in general rather than forcing an organization into traditional categories that do not fit. The emphasis reflects the fact that the results do not necessarily demonstrate a consistent theme, but instead reflect bits and pieces of progress as opportunities to pose questions become recognized. This book is a result of an invitation sent from the editors to a broad range of experimenters asking them to write brief notes describing specific experimental results. The challenge was to produce pictures and tables that were self-contained so the reader could understand quickly the essential nature of the experiments and the results.

Bubbles and Crashes

Brent Goldfarb,David A Kirsch
Bubbles and Crashes Book PDF

Author : Brent Goldfarb,David A Kirsch
Publisher : Stanford University Press
Page : 284 pages
File Size : 44,9 Mb
Release : 2019-02-19
Category : Business & Economics
ISBN : 9781503607934

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Bubbles and Crashes by Brent Goldfarb,David A Kirsch Pdf

“An interesting take on some factors that facilitate the development and bursting of bubbles in technology industries. . . . Highly recommended.” —Choice Financial market bubbles are recurring, often painful, reminders of the costs and benefits of capitalism. While many books have studied financial manias and crises, most fail to compare times of turmoil with times of stability. In Bubbles and Crashes, Brent Goldfarb and David A. Kirsch give us new insights into the causes of speculative booms and busts. They identify a class of assets—major technological innovations—that can, but does not necessarily, produce bubbles. This methodological twist is essential: Only by comparing similar events that sometimes lead to booms and busts can we ascertain the root causes of bubbles. Using a sample of eighty-eight technologies spanning 150 years, Goldfarb and Kirsch find that four factors play a key role in these episodes: the degree of uncertainty surrounding a particular innovation; the attentive presence of novice investors; the opportunity to directly invest in companies that specialize in the technology; and whether or not a technology is a good protagonist in a narrative. Goldfarb and Kirsch consider the implications of their analysis for technology bubbles that may be in the works today, offer tools for investors to identify whether a bubble is happening, and propose policy measures that may mitigate the risks associated with future speculative episodes.

A Collection of Surveys on Market Experiments

Charles Noussair,Steven Tucker
A Collection of Surveys on Market Experiments Book PDF

Author : Charles Noussair,Steven Tucker
Publisher : John Wiley & Sons
Page : 374 pages
File Size : 53,6 Mb
Release : 2013-11-27
Category : Business & Economics
ISBN : 9781118790687

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A Collection of Surveys on Market Experiments by Charles Noussair,Steven Tucker Pdf

Comprised of 10 surveys by leading scholars, this collection showcases the largest and fastest growing strands of research on market behaviour in experimental economics. Covers topics such as asset markets, contests, environmental policy, frictions, general equilibrium, labour markets, multi-unit auctions, oligopoly markets, and prediction markets Focuses on the literature that has helped economists best understand how markets operate Assesses the impact of developments in theory, policy, and research methods

Papers in Experimental Economics

Vernon L. Smith
Papers in Experimental Economics Book PDF

Author : Vernon L. Smith
Publisher : Cambridge University Press
Page : 829 pages
File Size : 43,8 Mb
Release : 1991-11-29
Category : Business & Economics
ISBN : 9780521364560

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Papers in Experimental Economics by Vernon L. Smith Pdf

A collection of the major papers of Vernon L. Smith, the main creator of the new field of experimental economics.

Developments on Experimental Economics

Sobei H. Oda
Developments on Experimental Economics Book PDF

Author : Sobei H. Oda
Publisher : Springer Science & Business Media
Page : 264 pages
File Size : 43,7 Mb
Release : 2007-06-29
Category : Business & Economics
ISBN : 9783540686590

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Developments on Experimental Economics by Sobei H. Oda Pdf

This volume on experimental economics offers both new research grounds and a bird’s eye view on the field. In the first part, leading experimental economists, among them Vernon S. Smith and Daniel Friedman, give inspiring insights into their view on the general development of this field. In the second part, selected short papers by researchers from various disciplines present new ideas and concepts to solving problems in the real world.

A Theory of Speculative Bubbles and Crashes: A Study on Phase Transitions in Financial Markets with Networked Agents

Taisei Kaizoji
A Theory of Speculative Bubbles and Crashes A Study on Phase Transitions in Financial Markets with Networked Agents Book PDF

Author : Taisei Kaizoji
Publisher : Routledge
Page : 256 pages
File Size : 49,7 Mb
Release : 2015-10-01
Category : Business & Economics
ISBN : 1138789437

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A Theory of Speculative Bubbles and Crashes: A Study on Phase Transitions in Financial Markets with Networked Agents by Taisei Kaizoji Pdf

Most of us would accept that recent large economic fluctuations have been caused by crashes of speculative bubbles in asset markets. For example, few would disagree that the most important cause of the global financial crisis in 2008 was the collapse of an unprecedented bubble in U.S. housing markets. However, the reasons why bubbles frequently occur in various financial markets, and why bubbles collapse are not always well understood. The book provides a new theoretical explanation of bubbles and crashes to help answer questions relating to how asset bubbles come about, why they persist, and the causes of the subsequent crashes. In this innovative volume, Taisei Kaizoji proposes a stock market model in which noise traders and fundamentalists who follow the traditional asset pricing model coexist. A distinctive feature of this study is that the so called noise-trader's behavior is modeled in a framework of Keynes' beauty contest metaphor. The author elucidate a mechanism in which (i) noise-traders' herd behavior gives cause to a bubble, and (ii) their trading momentum prolongs the bubble, (iii) the bubble inevitably results in a crash, and (iv) the cycles of bubble and crash are repeated. The results give a possible theoretical solution to the equity premium puzzle. This model will deepen our understanding of the mechanism of bubbles and subsequent crashes and help to bring about an innovation in financial economics which allow us to consider the laws of capitalist economies in a new light.

The Stock Market: Bubbles, Volatility, and Chaos

G.P. Dwyer,R.W. Hafer
The Stock Market Bubbles Volatility and Chaos Book PDF

Author : G.P. Dwyer,R.W. Hafer
Publisher : Springer Science & Business Media
Page : 206 pages
File Size : 45,8 Mb
Release : 2013-03-09
Category : Business & Economics
ISBN : 9789401578813

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The Stock Market: Bubbles, Volatility, and Chaos by G.P. Dwyer,R.W. Hafer Pdf

Gerald P. Dwyer, Jr. and R. W. Hafer The articles and commentaries included in this volume were presented at the Federal Reserve Bank of St. Louis' thirteenth annual economic policy conference, held on October 21-22, 1988. The conference focused on the behavior of asset market prices, a topic of increasing interest to both the popular press and to academic journals as the bull market of the 1980s continued. The events that transpired during October, 1987, both in the United States and abroad, provide an informative setting to test alter native theories. In assembling the papers presented during this conference, we asked the authors to explore the issue of asset pricing and financial market behavior from several vantages. Was the crash evidence of the bursting of a speculative bubble? Do we know enough about the work ings of asset markets to hazard an intelligent guess why they dropped so dramatically in such a brief time? Do we know enough to propose regulatory changes that will prevent any such occurrence in the future, or do we want to even if we can? We think that the articles and commentaries contained in this volume provide significant insight to inform and to answer such questions. The article by Behzad Diba surveys existing theoretical and empirical research on rational bubbles in asset prices.

Natural Computing in Computational Finance

Anthony Brabazon,Michael O'Neill
Natural Computing in Computational Finance Book PDF

Author : Anthony Brabazon,Michael O'Neill
Publisher : Springer Science & Business Media
Page : 246 pages
File Size : 40,8 Mb
Release : 2009-03-13
Category : Business & Economics
ISBN : 9783540959731

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Natural Computing in Computational Finance by Anthony Brabazon,Michael O'Neill Pdf

Recent years have seen the widespread application of Natural Computing algorithms (broadly defined in this context as computer algorithms whose design draws inspiration from phenomena in the natural world) for the purposes of financial modelling and optimisation. A related stream of work has also seen the application of learning mechanisms drawn from Natural Computing algorithms for the purposes of agent-based modelling in finance and economics. In this book we have collected a series of chapters which illustrate these two faces of Natural Computing. The first part of the book illustrates how algorithms inspired by the natural world can be used as problem solvers to uncover and optimise financial models. The second part of the book examines a number agent-based simulations of financial systems. This book follows on from Natural Computing in Computational Finance (Volume 100 in Springer’s Studies in Computational Intelligence series) which in turn arose from the success of EvoFIN 2007, the very first European Workshop on Evolutionary Computation in Finance & Economics held in Valencia, Spain in April 2007.

Famous First Bubbles

Peter M. Garber
Famous First Bubbles Book PDF

Author : Peter M. Garber
Publisher : MIT Press
Page : 180 pages
File Size : 50,5 Mb
Release : 2001-08-24
Category : Business & Economics
ISBN : 0262571536

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Famous First Bubbles by Peter M. Garber Pdf

The jargon of economics and finance contains numerous colorful terms for market-asset prices at odds with any reasonable economic explanation. Examples include "bubble," "tulipmania," "chain letter," "Ponzi scheme," "panic," "crash," "herding," and "irrational exuberance." Although such a term suggests that an event is inexplicably crowd-driven, what it really means, claims Peter Garber, is that we have grasped a near-empty explanation rather than expend the effort to understand the event. In this book Garber offers market-fundamental explanations for the three most famous bubbles: the Dutch Tulipmania (1634-1637), the Mississippi Bubble (1719-1720), and the closely connected South Sea Bubble (1720). He focuses most closely on the Tulipmania because it is the event that most modern observers view as clearly crazy. Comparing the pattern of price declines for initially rare eighteenth-century bulbs to that of seventeenth-century bulbs, he concludes that the extremely high prices for rare bulbs and their rapid decline reflects normal pricing behavior. In the cases of the Mississippi and South Sea Bubbles, he describes the asset markets and financial manipulations involved in these episodes and casts them as market fundamentals.

Asset Bubbles

Bradley Jones
Asset Bubbles Book PDF

Author : Bradley Jones
Publisher : International Monetary Fund
Page : 59 pages
File Size : 51,6 Mb
Release : 2015-02-11
Category : Business & Economics
ISBN : 9781475576207

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Asset Bubbles by Bradley Jones Pdf

In distilling a vast literature spanning the rational— irrational divide, this paper offers reflections on why asset bubbles continue to threaten economic stability despite financial markets becoming more informationally-efficient, more complete, and more heavily influenced by sophisticated (i.e. presumably rational) institutional investors. Candidate explanations for bubble persistence—such as limits to learning, frictional limits to arbitrage, and behavioral errors—seem unsatisfactory as they are inconsistent with the aforementioned trends impacting global capital markets. In lieu of the short-term nature of the asset owner—manager relationship, and the momentum bias inherent in financial benchmarks, I argue that the business risk of asset managers acts as strong motivation for institutional herding and ‘rational bubble-riding.’ Two key policy implications follow. First, procyclicality could intensify as institutional assets under management continue to grow. Second, remedial policies should extend beyond the standard suite of macroprudential and monetary measures to include time-invariant policies targeted at the cause (not just symptom) of the problem. Prominent among these should be reforms addressing principal-agent contract design and the implementation of financial benchmarks.