EXPERIMENTAL
ASSET MARKETS AND MODELING
Research work involves designing new experiments to
understand the factors that magnify and reduce financial bubbles. This work has
been in collaboration with V. Smith, D. Porter and V. Ilieva.
Our previous experiments have shown
that excess cash in the system and momentum due to initial undervaluation both
result in larger bubbles. Another factor
that inflates bubbles is the absence of an open book. If trader can see the full array of bids and
asks, then it becomes evident at an earlier stage that the bids are thinning
out even though prices continue upward.
*Related Papers are Initial Cash/Asset Ratio and
Stock Prices: An Experimental Study
and Financial
Bubbles: Excess Cash, Momentum, and Incomplete Information We model
these phenomena using systems of differential equations and time series
(statistical) methods.
Recent work has involved asset markets with two different
assets (eg speculative or value) in an effort to
understand the influence of speculative stocks on value stocks.
*A Related Paper is Do
Speculative Stocks Lower Prices and Increase Volatility of Value Stocks?
*To view “Related Papers”
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