I've always thought that an anecdote was a short funny story that had actually never happened, but was rather created by common people in order to satirize, ridicule or to laugh at someone. But recently I noticed that native English speakers usually call it simply "joke". For example "Let me tell you a joke. One day a French, an American and an Italian meet at one restaurant..." If it's really the case, then what is an anecdote then? Would the word "anecdote" mean something else or, perhaps, something more specific for native English speakers? How often they use this word?
Anecdote is a very common false friend for native speakers of Russian (and other Slavic languages, I believe). In Russian, анекдот means exactly what you describe: "a short fictitious funny story, a joke". In English, it does not. Here's the Merriam-Webster definition:
And here's what Wiktionary has to say:
An anecdote is a short story that actually happened, traditionally (but not necessarily) one that happened to the speaker.
On the other hand, a joke is an amusing story1, traditionally (but not necessarily) one that is made up.
Humourous | Not Humorous Real | Either word2 | Anecdote Made Up | Joke | Fiction
1 Since you mentioned satire and ridicule, that would typically be a joke, but a joke may simply be funny without being satirical or ridiculous.
2 Typically, though, this would be an anecdote.