Forecasting dynamics and convergence to market fundamentals
作者： Steven P. Peterson
DOI: 10.1016/0167-2681(93)90002-7
关键词: Rational expectations 、 Economics 、 Convergence (economics) 、 Market price 、 Dynamics (music) 、 Process (engineering) 、 Microeconomics 、 Contract price 、 Rational expectations equilibrium 、 Asset (economics)
摘要: Abstract Subjects trade shares of a fictitious asset in computerized double-auction market and submit one-period ahead forecasts the mean contract price. On average, predictions Rational Expectations Hypothesis are not supported tend to be both biased inconsistent with specification process which would generate prices Equilibrium. Nevertheless, an empirical analysis agents' forecasting dynamics indicates that learning does occur, evolve direction consistent
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