Arbeitspapier
Predicting the unpredictable: New experimental evidence on forecasting random walks
We investigate how individuals use measures of apparent predictability from price charts to predict future market prices. Subjects in our experiment predict both random walk times series, as in the seminal work by Bloomfield & Hales (2002) (BH), and stock price time series. We successfully replicate the experimental findings in BH that subjects are less trend-chasing when there are more reversals in the first task. We find that subjects also overreact less to the trend when there is less momentum in the stock price in the second task, though the momentum factor that is significant is the autocorrelation instead of the number of reversals per se. Our subjects also appear to use other variables such as amplitude and volatility as measures of predictability. However, as random walk theory predicts, relying on apparent patterns in past data does not improve their prediction accuracy.
- Sprache
-
Englisch
- Erschienen in
-
Series: ISER Discussion Paper ; No. 1181
- Klassifikation
-
Wirtschaft
Design of Experiments: Laboratory, Individual
Micro-Based Behavioral Economics: Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making‡
Expectations; Speculations
Behavioral Finance: Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets‡
- Thema
-
Asset Prices
Regime-switching
Price Prediction
Experimental Finance
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Te, Bao
Corgnet, Brice
Hanaki, Nobuyuki
Riyanto, Yohanes Eko
Zhu, Jiahua
- Ereignis
-
Veröffentlichung
- (wer)
-
Osaka University, Institute of Social and Economic Research (ISER)
- (wo)
-
Osaka
- (wann)
-
2022
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Te, Bao
- Corgnet, Brice
- Hanaki, Nobuyuki
- Riyanto, Yohanes Eko
- Zhu, Jiahua
- Osaka University, Institute of Social and Economic Research (ISER)
Entstanden
- 2022
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