1. Behavioral Uncertainty and the dynamics of traders' confidence in their Price forecasts
- Author
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Nobuyuki Hanaki, Ryuichiro Ishikawa, Eizo Akiyama, Groupe de Recherche en Droit, Economie et Gestion (GREDEG), Université Nice Sophia Antipolis (... - 2019) (UNS), COMUE Université Côte d'Azur (2015-2019) (COMUE UCA)-COMUE Université Côte d'Azur (2015-2019) (COMUE UCA)-Centre National de la Recherche Scientifique (CNRS)-Université Côte d'Azur (UCA), Faculty of Engineering, Information and Systems [Tsukuba], Université de Tsukuba = University of Tsukuba, School of International Liberal Studies, Waseda University, CODIREM, ANR-15-ORAR-0004,BEAM,Analyses comportementales et exp?rimentales en macro-finance(2015), and ANR-15-IDEX-0001,UCA JEDI,Idex UCA JEDI(2015)
- Subjects
Economics and Econometrics ,Control and Optimization ,experimental asset markets ,Interval (mathematics) ,Positive correlation ,interval elicitation ,0502 economics and business ,Econometrics ,Economics ,behavioral uncertainty JEL Code: C90 ,050207 economics ,JEL: C - Mathematical and Quantitative Methods ,050208 finance ,Actuarial science ,JEL: D - Microeconomics ,Applied Mathematics ,05 social sciences ,Asset market ,[SHS.ECO]Humanities and Social Sciences/Economics and Finance ,JEL: D - Microeconomics/D.D8 - Information, Knowledge, and Uncertainty/D.D8.D84 - Expectations • Speculations ,D84 ,Dynamics (music) ,Value (economics) ,JEL: C - Mathematical and Quantitative Methods/C.C8 - Data Collection and Data Estimation Methodology • Computer Programs/C.C8.C80 - General ,Dividend ,Negative correlation ,Price forecasts - Abstract
International audience; By how much does the presence of behavioral uncertainty in an experimental asset market reduce subjects' confidence in their price forecasts? An incentivized interval forecast elicitation method is employed to answer this question. Each market consists of six traders, and the value of dividends is known. Two treatments are considered: six human traders (6H), and one human interacting with five computer traders whose behavior is known (1H5C). We find that while the deviation of the initial price forecasts from fundamental value is smaller in the 1H5C treatment than in the 6H treatment, albeit not statistically significantly, the average confidence regarding the forecasts is not. We further analyze the relationships between subjects' confidence in their forecasts and their trading behavior, as well as their trading performance, in the 6H treatment. While subjects' high confidence in their short-term forecasts shows a negative correlation with their trading performance, high confidence in their long-term forecasts shows a positive correlation with trading performance.
- Published
- 2017
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