We show that extrinsic or nonfundamental uncertainty influences markets in a controlled environment. This work provides the first direct evidence of sunspot equilibria. These equilibria require a common understanding of the semantics of the sunspot variable, and they appear to be sensitive to the flow of information. Sunspots always occur in a closed-book call market, but they happen only occasionally in a double auction, where inframarginal bids and offers are observable.
Duffy, John and Eric O'N. Fisher.
2005."Sunspots in the Laboratory."American Economic Review,
95(3): 510-529.DOI: 10.1257/0002828054201350