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Market Experiments with Multiple Assets: A survey

Author

Listed:
  • Duffy, John

    (University of California)

  • Rabanal, Jean Paul

    (University of Stavanger)

  • Rud, Olga

    (University of Stavanger)

Abstract

In this chapter, we review the small but growing experimental literature on trade in multiple assets as well as trade in more complex financial instruments, such as derivatives and indices. We discuss the impact of multiple asset trade on arbitrage, risk premia, and price co-movement across multiple assets. Our literature survey suggests that while single asset SSW environments may be more prone to mispricing and/ or bubbles, adding related assets (e.g. indices and derivatives) can mitigate these deviations. Further, correlations in payoffs across different assets and the cognitive abilities of subjects are important contributing factors in the pricing of assets in multiple asset markets.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Duffy, John & Rabanal, Jean Paul & Rud, Olga, 2021. "Market Experiments with Multiple Assets: A survey," UiS Working Papers in Economics and Finance 2021/4, University of Stavanger.
    • Handle: RePEc:hhs:stavef:2021_004
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    References listed on IDEAS

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    Cited by:

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    3. Angerer, Martin & Neugebauer, Tibor & Shachat, Jason, 2023. "Arbitrage bots in experimental asset markets," Journal of Economic Behavior & Organization, Elsevier, vol. 206(C), pages 262-278.
    4. Duffy, John & Rabanal, Jean Paul & Rud, Olga A., 2023. "Market reactions to stock splits: Experimental evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 214(C), pages 325-345.

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    Keywords

    Finance; Experiments;

    JEL classification:

    • G00 - Financial Economics - - General - - - General

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