Behavioral uncertainty and the dynamics of traders' confidence in their price forecasts

Nobuyuki Hanaki, Eizo Akiyama () and Ryuichiro Ishikawa
Additional contact information
Eizo Akiyama: Faculty of Engineering, Information and Systems [Tsukuba] - Université de Tsukuba = University of Tsukuba

Post-Print from HAL

Abstract: 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.

Keywords: behavioral uncertainty JEL Code: C90; D84; Price forecasts; interval elicitation; experimental asset markets (search for similar items in EconPapers)
Date: 2018-01-08
New Economics Papers: this item is included in nep-cbe, nep-exp and nep-upt
Note: View the original document on HAL open archive server: https://hal.science/hal-01712301v1
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Published in Journal of Economic Dynamics and Control, 2018, 88, pp.121 - 136. ⟨10.1016/j.jedc.2018.01.020⟩

Downloads: (external link)
https://hal.science/hal-01712301v1/document (application/pdf)

Related works:
Journal Article: Behavioral uncertainty and the dynamics of traders’ confidence in their price forecasts (2018)
Working Paper: Behavioral Uncertainty and the Dynamics of Traders' Confidence in their Price Forecasts (2017)
Working Paper: Behavioral Uncertainty and the dynamics of traders' confidence in their Price forecasts (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01712301

DOI: 10.1016/j.jedc.2018.01.020

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().