Gerber, Anke; Hens, Thorsten; Vogt, Bodo - Institut für Schweizerisches Bankwesen <Zürich>; … - 2006
We explain excess volatility, short-term momentum and long-term reversal of asset prices by a repeated game version of Keynes beauty contest. In every period the players can either place a buy or sell order on the asset market. The actual price movement is determined by average market orders and...