Cross−impact and price bubbles in hybrid financial markets

IF 1.4 3区经济学 Q2 ECONOMICS

Journal of Behavioral and Experimental Economics Pub Date : 2025-07-30 DOI:10.1016/j.socec.2025.102398

Philipp Chapkovski , Francesco Cordoni , Caterina Giannetti , Fabrizio Lillo

引用次数: 0

Abstract

We explore cross-impact in a hybrid experimental market with human and artificial agents, varying liquidity across treatments. In treatment Separated participants hold distinct portfolios for two stocks, while in Integrated they hold a unique portfolio, i.e., can freely move capital between assets. Larger bubbles and asymmetric cross-market impact occur with unique portfolios and decreasing value asset. When comparing experimental and synthetic data, cross-impact is attributed to human players, especially when stock values are close to each other. Artificial players also react to human presence, contributing to cross-impact.

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混合金融市场的交叉影响和价格泡沫

我们在混合实验市场中探索人类和人工代理人的交叉影响，不同处理的流动性不同。在处理中，分离的参与者持有两种股票的不同投资组合，而在整合中，他们持有一个独特的投资组合，即可以自由地在资产之间移动资本。独特的投资组合和价值递减的资产会产生更大的泡沫和不对称的跨市场冲击。当比较实验数据和合成数据时，交叉影响归因于人类玩家，特别是当股票价值彼此接近时。人工玩家也会对人类的存在做出反应，从而产生交叉影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Behavioral and Experimental Economics ECONOMICS-

CiteScore

2.60

自引率

12.50%

发文量

113

审稿时长

83 days

期刊介绍： The Journal of Behavioral and Experimental Economics (formerly the Journal of Socio-Economics) welcomes submissions that deal with various economic topics but also involve issues that are related to other social sciences, especially psychology, or use experimental methods of inquiry. Thus, contributions in behavioral economics, experimental economics, economic psychology, and judgment and decision making are especially welcome. The journal is open to different research methodologies, as long as they are relevant to the topic and employed rigorously. Possible methodologies include, for example, experiments, surveys, empirical work, theoretical models, meta-analyses, case studies, and simulation-based analyses. Literature reviews that integrate findings from many studies are also welcome, but they should synthesize the literature in a useful manner and provide substantial contribution beyond what the reader could get by simply reading the abstracts of the cited papers. In empirical work, it is important that the results are not only statistically significant but also economically significant. A high contribution-to-length ratio is expected from published articles and therefore papers should not be unnecessarily long, and short articles are welcome. Articles should be written in a manner that is intelligible to our generalist readership. Book reviews are generally solicited but occasionally unsolicited reviews will also be published. Contact the Book Review Editor for related inquiries.