2017/07/30

Experimental finance

Bloomfield, Robert J., and Alyssa G. Anderson. “Experimental finance." (2010), Johnson School Research Paper Series No. 23-2010. [鏈結網址]
== YNY: 這篇文章介紹實驗方法在財務上的應用==
作者指出目前實驗財務最重要的研究課題是
市場整合資訊和如何消除個別偏誤的現象
one of the most important streams in experimental finance that relates directly to behavioral finance: the ability of markets to aggregate information and eliminate individual biases.
實驗一般來說在測試 3種假設
  • 結構假設 (例如 動機, 資訊傳遞, 行為, 互動方式)
  • 行為假設 (例如 偏好 效用極大化, 效用函數的形式, 決策能力)
  • 均衡假設 (例如 貝氏Nash 均衡, 理性預期, 無套利價格)

(最後還提到另一種是 測試沒有解的 model, 例如 noise trader)

實驗設計 demonstration  vs 控制實驗
分析方法
The base-rate fallacy is the tendency for people to overweight current information rather than the initial base rate

Abstract

Experiments are an underused method in finance and have natural advantages for behavioral finance. Experiments can provide a useful means to circumvent several common econometric issues such as omitted variables, unobserved variables, and self-selection. Experiments can extend the theoretical models they test by relaxing various assumptions or examining settings that are too complex to be addressed analytically. Whether or not theoretical predictions are clearly known in advance, experiments are most informative when they rely on controlled manipulation, which is the source of their inferential power.

廣告
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2017/07/26

實驗平台軟體

applications-science

https://beecl.wordpress.com/  BEECL 雲端行為實驗室

 

2017/07/26

Asset markets in the lab: A literature review

Nuzzo, Simone, and Andrea Morone. “Asset markets in the lab: A literature review." Journal of Behavioral and Experimental Finance (2017). https://doi.org/10.1016/j.jbef.2017.02.006

==YNY==

Duxbury (1995)provided a critical review of the concept of market efficiency and how to test it. Cadsby and Maynes (1998) gave a survey on laboratory experiments in corporate and investment finance. …Noussair and Tucker (2013) reviewed experimental research on asset pricing; Palan (2013) surveyed bubbles and crashes; Powell and Shestakova (2016) reviewed the latest research on experimental asset markets, where the values of the traded assets are homogeneous across all agents; Duxbury (2015a,b) presented some interesting literature related to experimental and behavioural finance, focusing on biases, moods and emotions.

===其它回顧文獻===

C.N. Noussair, S. Tucker, Experimental research on asset pricing, J. Econ. Surv., 27 (3) (2013), pp. 554-569.  View in article
S. SunderExperimental Asset Markets: A Survey
J. Kagel, A. Roth (Eds.), The Handbook of Experimental Economics, Princeton University Press (1995). View in article
D. DuxburyExperimental asset markets within finance
J. Econ. Surv., 9 (4) (1995), pp. 331-371. View in article
C.B. Cadsby, E. MaynesLaboratory experiments in corporate and investment finance: a survey
Manag. Decis. Econ., 19 (4/5) (1998), pp.277-298. View in article
After 1995
S. SunderExperimental Asset Markets: A Survey
J. Kagel, A. Roth (Eds.), The Handbook of Experimental Economics, Princeton University Press (1995). View in article
S. PalanA review of bubbles and crashes in experimental asset markets, J. Econ. Surv., 27 (3) (2013), pp. 570-588. View in article
O. Powell, N. ShestakovaExperimental asset markets: a survey of recent developments
J. Behav. Exp. Finance, 12 (2016),10.1016/j.jbef.2016.08.003. View in article
D. DuxburyBehavioral finance: insights from experiments I: Theory and financial markets
Rev. Behav. Finance, 7 (1) (2015), pp. 78-96. View in article

 

2017/07/26

Journal of Behavioral and Experimental Finance (新期刊目錄)

==yny==

行為和實驗財務的專門期刊, 終於出現了…

 

2016/10/06

Endogenous Market Formation and Monetary Trade: an Experiment

Date: 2016
By: Gabriele Camera (Chapman University and University of Basel)
Dror Goldberg (The Open University of Israel)
Avi Weiss (Bar-Ilan University and Taub Center for Social Policy Research of Israel and IZA)
URL: http://d.repec.org/n?u=RePEc:chu:wpaper:16-19&r=net
The theory of money assumes decentralized bilateral exchange and excludes centralized multilateral exchange. However, endogenizing the exchange process is critical for understanding the conditions that support the use of money. We develop a “travelling game” to study the spontaneous emergence of decentralized and centralized exchange, theoretically and experimentally. Players located on separate “islands” can either trade locally, or pay a cost to trade elsewhere, so decentralized and centralized markets can both emerge in equilibrium. The latter maximize trade meetings and are socially efficient; the former minimize trade costs through the use of money. In the laboratory, centralized exchange more frequently emerges when subjects perform diversified economic tasks, but also when they interact in large groups. This shows that to understand the emergence of money it is important to amend the theory of money such that the market structure is endogenized.
Keywords: endogenous institutions, macroeconomic experiments, matching, coordination, markets, money
JEL: E4 E5 C9 C92
2016/10/06

A Network Model of Multilaterally Equilibrium Exchange Rates

Date: 2016-07-06
By: Alexei P Kireyev
Andrei Leonidov
URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:16/130&r=net
This paper proposes a network model of multilaterally equilibrium exchange rates. The model introduces a topological component into the exchange rate analysis, consistently taking into account simultaneous higher-order interactions among all currencies. The paper defines the currency demand indicator. On its base, it derives a multilateral exchange rate network, finds its dynamically stationary position, and identifies the multilaterally equilibrium levels of bilateral exchanges rates. Potentially, the model can be developed further to calculate the deviations of the observed bilateral exchange rates from their multilaterally equilibrium levels, which can be interpreted as their over- or undervaluation. For illustration, the model is applied to daily 1995-2016 exchange rates among 130 currencies sourced from the Thomson Reuters Datastream.
Keywords: Exchange rates;Currencies;Supply and demand;Econometric models;Time series;exchange rate, networks, equilibrium, trade, network.
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2016/10/06

Networks of Heterogeneous Expectations in an Asset Pricing Market

Date: 2015
By: Makarewicz, T.A. (University of Amsterdam)
URL: http://d.repec.org/n?u=RePEc:ams:ndfwpp:15-08&r=net
The paper studies the e ect of information networks on learning to forecast in an asset pricing market. Financial traders have heterogeneous price expectations, are influenced by friends and seem to be prone to herding. However, in laboratory experiments subjects use contrarian strategies. Theoretical literature on learning in networks is scarce and cannot explain this conundrum (Panchenko et al., 2013). The paper follows Anufriev et al. (2014) and investigates an agent-based model, in which agents forecast price with a simple general heuristic: adaptive and trend extrapolation expectations, with an additional term of (dis-)trust towards their friends’ mood. Agents independently use Genetic Algorithms to optimize the parameters of the heuristic. The paper considers friendship networks of symmetric (regular lattice, fully connected) and asymmetric architecture (random, rewired, star). The main finding is that the agents learn contrarian strategies, which amplifies market turn-overs and hence price oscillations. Nevertheless, agents learn similar behavior and their forecasts remain well coordinated. The model therefore o ers a natural interpretation for the di erence between the experimental stylized facts and market surveys.
2016/06/30

Basel III and recourse to Eurosystem monetary policy operations

Date: 2016-04
By: Bucalossi, Annalisa
Fonseca Coutinho, Cristina
Junius, Kerstin
Luskin, Alaoishe
Momtsia, Angeliki
Rahmouni-Rousseau, Imene
Sahel, Benjamin
Scalia, Antonio
Schmitz, Stefan
Prior Soares, Rita Isabel
Schobert, Franziska
Wedow, Michael
URL: http://d.repec.org/n?u=RePEc:ecb:ecbops:2016171&r=net
Following the emergence of the financial crisis in August 2007, the Basel Committee on Banking Supervision established in 2010 a new global regulatory framework. In addition to raising capital requirements, it introduced three ratios, two of which set out minimum standards for liquidity and funding risk, i.e. the liquidity coverage ratio and the net stable funding ratio, and one which aims to limit leverage in the banking system, i.e. the leverage ratio. All three ratios can have a number of implications for monetary policy implementation, in particular the liquidity coverage ratio and the net stable funding ratio owing to the special role of central banks in providing liquidity. This paper investigates the extent to which the regulatory initiatives might have already had an impact on banks’ behaviour in Eurosystem monetary policy operations. It also provides an overview of the regulatory state of play and major recent advancements in banks’ compliance with the three Basel III ratios. Based on aggregate data, the empirical evidence generally supports some of the theoretically predicted effects of the three ratios. However, no firm conclusions can be drawn as to whether the introduction of the three ratios could cause a significant change in banks’ recourse to Eurosystem monetary policy operations. This is partly due to the fact that, in aggregate, major developments, such as substantial fluctuations in the recourse to Eurosystem refinancing operations in the years between 2012 and 2015, have been driven by the financial crisis and the gradual recovery from it, as well as by the accommodative stance of monetary policy. JEL Classification: G28, E58
Keywords: Basel III, liquidity regulation, monetary policy implementation
2016/02/25

On Freezing Depositor Funds at Financially Distressed Banks: An Experimental Analysis

Date: 2015-09
By: Douglas D. Davis (Department of Economics, VCU School of Business)
Robert Reilly (Department of Economics, VCU School of Business)
URL: http://d.repec.org/n?u=RePEc:vcu:wpaper:1501&r=net
This paper reports an experiment conducted to evaluate the effects of alterations in the terms of repayments to depositors following a liquidity suspension as well as the effect of alterations in the publicity of information about withdrawal behavior on the fragility of distressed banks. Results indicate that a ÒtoughÓ renegotiation stance, e.g. of protecting depositors who maintain their money in the bank, can quite effectively promote stability. Information provided to depositors regarding past withdrawal behavior weakens the effectiveness of a tough renegotiation policy, but reduces fragility somewhat for a more lenient rescheduling condition.
Keywords: liquidity suspension, observability, bank runs, experimental economics
JEL: G21 C9
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2016/01/08

In Gov we trust: Voluntary compliance in networked investment games

Date: 2015-12
By: Natalia Borzino (University of East Anglia)
Enrique Fatas (University of East Anglia)
Emmanuel Peterle (University of Gottingen)
URL: http://d.repec.org/n?u=RePEc:uea:wcbess:15-21&r=net
We conduct a controlled laboratory experiment to investigate trust and trustworthiness in a networked investment game in which two senders interact with a receiver. We investigate to what extent senders and receivers comply with an exogenous and non-binding recommendation. We also manipulate the level of information available to senders regarding receiver’s behavior in the network. We compare a baseline treatment in which senders are only informed about the actions and outcomes of their own investment games to two information treatments. In the reputation treatment, senders receive ex ante information regarding the average amount returned by the receiver in the previous period. In the transparency treatment, each sender receives ex post additional information regarding the returning decision of the receiver to the other sender in the network. Across all treatments and for both senders and receivers, the non-binding rule has a significant and positive impact on individual decisions. Providing senders with additional information regarding receiver’s behavior affects trust at the individual level, but leads to mixed results at the aggregate level. Our findings suggest that reputation building, as well as allowing for social comparison could be efficient ways for receivers to improve trust within networks.
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