Aston Group for Research in Experimental Finance (AGREF)

The Aston Group for Research in Experimental Finance, formally the Aston Centre for Research in Experimental Finance, was set up in January 2004 as the first U.K. research centre dedicated solely to the application of experimental methods in financial markets. The aim of the research centre, continued by the research group, is to promote, undertake, utilize and disseminate research in experimental finance.

Market microstructure is the current focus of experimental research within AGREF. The group has created a limit order trading floor in which traders can compete with each other for the order flow. Using this environment a range of experiments are being undertaken which study the reactions of traders to changes in the order flow. The laboratory is also used for teaching purposes, within a number of our postgraduate modules.

Diary of Activities

• April 2004: Visit to experimental laboratory at UCF.
• June 10-16 2004: Professor Charles Schnitzlein (UCF) visits Aston University.
• June 12 2004: 1^st Conference on experimental finance held at Aston.

  • Competition and co-operation in divisible goods auctions: An experimental investigation, Professor Charles Schnitzlein University of Central Florida USA.

  • How do people manage risky investments? Dr Barbra Summers, University of Leeds.

  • An experimental test of the impact of overconfidence and gender on trading activity. Professor Richard Deaves, McMaster University, Canada. 

  • Intermittent trading, time dependency and investor behavior: Some further insights into portfolio return autocorrelation. Professor Jim Steeley, Aston Business School.     

• June 15 2004: Experimental laboratory established at Aston and pilot experiments undertaken.
• October 11 2004: MSc students use laboratory to simulate trading environment.
• May 2005: Experiments undertaken at Aston. Visit to laboratory at UCF.
• November 2005: Series of experiments trading experiments undertaken at Aston.
• March 2006: Visit to laboratory at UCF.
• June 2007: Invited research paper (Steeley, Chelley-Steeley & Schnitzlein) presented at Market Microstructure Conference, Aix en Provence.
• October 2007: Paper (Steeley, Chelley-Steeley & Schnitzlein) presented at FMA conference, Orlando.
• March 2008: Chelley-Steeley and Steeley becoming founding co-editors with Rochard Fairchild (Bath) of the International Journal of Behavioural Accounting and Finance (IJBAF).
• April 2008 Paper (Steeley, Chelley-Steeley & Schnitzlein) presented at EFA conference, Palm Beach.
• May 2008: Further experiments undertaken at Aston (project with Schnitzlein).
• June 2008: Development of new trading software and new experimental work with Prof. Brian Kluger (University of Cincinatti).
• July 2008: Visit from Prof. Brian Kluger
• July 2008: 2^nd Conference on Experimental Finance

  • How do Individual Judgement Errors Aggregate in Laboratory Asset Market Bubbles?”Lucy Ackert, Brian Kluger and Li Qi.

  • “Intraday Trading Patterns in an Autonomous Agent-based Stock Market.” Mark McBride (Maimi University).

  • “How do Multi-player Beauty Contests Games Affect the Level of Reasoning in Subsequent Two Player Games?” Richard Fairchild (University of Bath).

  • “Volume and Volatility when Informed Traders Disagree”. Patricia Chelley-Steeley, James Steeley and Charles Schnitzlein.

• July/August 2008: Visit to laboratory at UCF.
• November 2008/February 2009: Experiments at Aston (project with Kluger).
• Forthcoming: Special issue of IJBAF on Experimental Finance edited by Chelley-Steeley and Steeley

Associate members of AGREF are:

• Richard Fairchild (University of Bath)
• Charles Schnitzlein (University of Central Florida)
• Barbra Summers (University of Leeds)
• Richard Deaves (McMaster University, Canada)
• Brian Kluger (University of Cincinatti)
• Mark McBride (Miami University, Ohio)