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Bubble formation and (in)efficient markets in learning-to-forecast and -optimise experiments
Te, Bao; Hommes, Cars H.; Makarewicz, Tomasz - 2015
This experiment compares the price dynamics and bubble formation in an asset market with a price adjustment rule in three treatments where subjects (1) submit a price forecast only, (2) choose quantity to buy/sell and (3) perform both tasks. We find deviation of the market price from the...
Persistent link: https://www.econbiz.de/10011333057
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Financial markets as nonlinear adaptive evolutionary systems
Hommes, Cars H. - 2001
Recent work on complex adaptive systems for modeling financialmarkets is surveyed. Financia1 markets areviewed as evolutionary systems between different, competing tradingstrategies. Agents are boundedly rational inthe sense that they tend to follow strategies that have performedwell, according...
Persistent link: https://www.econbiz.de/10011313923
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Financial markets as nonlinear adaptive evolutionary systems
Hommes, Cars H. - 2000
Persistent link: https://www.econbiz.de/10001554477
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Bubbles, crashes and information contagion in large-group asset market experiments
Hommes, Cars H.; Kopányi-Peuker, Anita; Sonnemans, Joep - 2019
We experimentally investigate how price expectations are formed in a large asset market where subjects' only task is to forecast the future price of a risky asset. The realized prices depend on these expectations. We observe small (6 participants) and large markets (about 100 participants). In...
Persistent link: https://www.econbiz.de/10011979625
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Efficiency in auctions with private and common values
Goeree, Jacob K.; Offerman, Theo - 2000
Persistent link: https://www.econbiz.de/10001483844
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Washington meets Wall Street : a closer examination of the presidential cycle puzzle
Kräussl, Roman; Lucas, André; Rijsbergen, David; … - 2008
Persistent link: https://www.econbiz.de/10003787145
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Washington meets Wall Street : a closer examination of the presidential cycle puzzle
Kräussl, Roman; Lucas, André; Rijsbergen, D.; Sluis, … - 2009
the presidential cycle election (PCE) theory as an alternative explanation. The PCE theory states that incumbent parties … formulate seven different propositions relating to fiscal, monetary, tax, and political implications of PCE theory. We find no … statistically significant evidence confirming the PCE theory as a plausible explanation for the presidential cycle effect. The …
Persistent link: https://www.econbiz.de/10011377245
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Stock index volatility forecasting with high frequency data
Hol Uspensky, Eugenie; Koopman, Siem Jan - 2002
The increasing availability of financial market data at intraday frequencies has not only led to the development of improved ex-post volatility measurements but has also inspired research into their potential value as an informa-tion source for longer horizon volatility forecasts. In this paper...
Persistent link: https://www.econbiz.de/10011326944
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How informative are the unpredictable components of earnings forecasts?
Bruijn, Bert de; Franses, Philip Hans - 2015
An analysis of about 300000 earnings forecasts, created by 18000 individual forecasters for earnings of over 300 S&P listed firms, shows that these forecasts are predictable to a large extent using a statistical model that includes publicly available information. When we focus on the...
Persistent link: https://www.econbiz.de/10010490078
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Voting right rotation, behavior of committee members and financial market reactions : evidence from the U.S. Federal Open Market Committee
Ehrmann, Michael; Tietz, Robin; Visser, Bauke - 2021
Whether Federal Reserve Bank presidents have the right to vote on the U.S. monetary policy committee depends on a mechanical, yearly rotation scheme. Rotation is without exclusion: also nonvoting presidents attend and participate in the meetings of the committee. Does voting status change...
Persistent link: https://www.econbiz.de/10012545129