The objective of this research is to predict the movements of the S&P 500 index using variations of the recurrent neural network. The variations considered are the simple recurrent neural network, the long short term memory and the gated recurrent unit. In addition to these networks, we discuss...

The standard interval forecasting task is modified, asking subjects to provide point predictions for future returns and assess the likelihood of fixed length intervals around their point estimates. The difference between the subjective likelihood estimates and the realized hit rate is advanced...

Biased forecasts, particularly the inadequate adjustment from current values and excessive clustering, are increasingly explained as resulting from anchoring. However, experiments presented in support of this interpretation lack economic conditions, particularly monetary incentives, feedback for...

To study coordination in complex social systems such as financial markets, the authors introduce a new prediction market set-up that accounts for fundamental uncertainty. Nonetheless, the market is designed so that its total value is known, and thus its rationality can be evaluated. In two...

We experimentally investigated the relationship between participants' reliance on algorithms, their familiarity with the task, and the performance level of the algorithm. We found that when participants could freely decide on their final forecast after observing the one produced by the algorithm...

We develop an adaptive learning game to rethink efficient markets. We use the stochastically stable state of this game, which is a mixed Nash equilibrium, to form an adaptive expectation model that provides an estimate of the confidence interval for prices on the next day. The estimate is most...

We study a two-stage purchase contract with a demand forecast update. The purchase contract provides the buyer an opportunity to adjust an initial commitment based on an updated demand forecast obtained at a later stage. An adjustment, if any, incurs a fixed as well as a variable cost. Using a...

You're probably familiar, at least in passing, with the 'convexity' of long-term bonds - i.e. that yields dropping 1% produce a bigger price move than yields rising 1%. A significant amount of brainpower has gone into understanding all the ramifications of this convexity in the fixed income...

The paper studies a dynamic communication game in the presence of adverse selection and career concerns. A forecaster of privately known competence, who cares about his reputation, chooses the timing of the forecast regarding the outcome of some future event. We find that in all equilibria in a...

Standard financial models assume that capital markets are fully efficient, which makes asset prices unforecastable. In contrast, the behavioral finance argues that markets may not be efficient, at least in the short term, given the limits to arbitrage. Combining both strands of literature, our...