Super-exponential bubbles in lab experiments: evidence for anchoring over-optimistic expectations on price
Trading and Market Microstructure
2012-05-04 v1
Abstract
We analyze a controlled price formation experiment in the laboratory that shows evidence for bubbles. We calibrate two models that demonstrate with high statistical significance that these laboratory bubbles have a tendency to grow faster than exponential due to positive feedback. We show that the positive feedback operates by traders continuously upgrading their over-optimistic expectations of future returns based on past prices rather than on realized returns.
Cite
@article{arxiv.1205.0635,
title = {Super-exponential bubbles in lab experiments: evidence for anchoring over-optimistic expectations on price},
author = {Andreas Hüsler and Didier Sornette and Cars H. Hommes},
journal= {arXiv preprint arXiv:1205.0635},
year = {2012}
}