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On the optimal strategy for the hedge fund manager : an experimental investigation
Permana, Yudistira - In: Cogent business & management 7 (2020) 1, pp. 1-20
price follows geometric Brownian motion and the money account has a constant interest rate. I experimentally test Nicolosi …
Persistent link: https://www.econbiz.de/10012650294
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Measuring price risk aversion through indirect utility functions : a laboratory experiment
Zeytoon-Nejad, Ali - In: Games 13 (2022) 4, pp. 1-43
The present paper introduces a theoretical framework through which the degree of risk aversion with respect uncertain … prices can be measured through the context of the indirect utility function (IUF) using a lab experiment. First, the paper … framework for measuring price risk aversion through varying prices as opposed to varying payoffs, which has been common practice …
Persistent link: https://www.econbiz.de/10013368182
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Overpricing persistence in experimental asset markets with intrinsic uncertainty
Sornette, Didier; Andraszewicz, Sandra; Wu, Ke; Murphy, … - 2020
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...
Persistent link: https://www.econbiz.de/10012231540
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Do investors overreact to COVID-19 outbreak? : an experimental study using sequential disclosures
Sulistiawan, Dedhy; Feliana, Yie Ke; Rudiawarni, … - In: Contemporary economics 17 (2023) 1, pp. 43-57
This paper aims to investigate market participants' reactions to sequential information, presenting firm-specific news and market-wide information. Experimental study takes place in the COVID-19 pandemic era, as market-wide information representation. We also provide firm-specific information in...
Persistent link: https://www.econbiz.de/10014281264
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Bounded rationality in Keynesian beauty contests : a lesson for central bankers?
Mauersberger, Felix; Nagel, Rosemarie; Bühren, Christoph - 2020
The great recession (2008) triggered an apparent discrepancy between empirical findings and macroeconomic models based on rational expectations alone. This gap led to a series of recent developments of a behavioral microfoundation of macroeconomics combined with the underlying experimental and...
Persistent link: https://www.econbiz.de/10012231504
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Risks of observable and unobservable biases in artificial intelligence predicting consumer choice
Teleaba, Florian; Popescu, Sorin; Olaru, Marieta; … - In: Amfiteatru economic : an economic and business research … 23 (2021) 56, pp. 102-119
Companies are increasingly adopting Artificial Intelligence (AI) today. Recently however debates started over the risk … incipient and focuses on observable biases. We provide a short synthesis of cognitive biases and their potential risk of being … replicated in AI-based choice prediction. We also discuss for the first time the risk of unobservable biases, which affect choice …
Persistent link: https://www.econbiz.de/10012821258
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How success breeds success
Descamps, Ambroise; Ke, Changxia; Page, Lionel - In: Quantitative economics : QE ; journal of the … 13 (2022) 1, pp. 355-385
a real‐effort laboratory experiment, we cleanly identify the causal effect of an early success in a competition. We …
Persistent link: https://www.econbiz.de/10012807751
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Dependence structure between Bitcoin and economic policy uncertainty : evidence from time-frequency quantile-dependence methods
Nasreen, Samia; Tiwari, Aviral Kumar; Jiang, Zhuhua; … - In: International Journal of Financial Studies : open … 10 (2022) 3, pp. 1-14
positive return interdependence between BTC and EPU is high in the short term, and this dependence decreases as investment … correlation between BTC and EPU is positive during a short-term investment horizon. Finally, the frequency domain Breitung and … Candelon causality test is applied, and results show the evidence of insignificant causality between Bitcoin and EPU. Overall …
Persistent link: https://www.econbiz.de/10013368334
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The impact of religious announcements on stock prices and investment decisions on the Saudi stock exchange
Alshammari, Turki Rashed; Ory, Jean-Noël - In: Borsa Istanbul Review 23 (2023) 5, pp. 1013-1025
Although many papers have examined the Saudi stock market, to date none have explored the influence of religiosity on the behavior of stock prices, taking into account the dominance of individual investors. These characteristics distinguish the Saudi stock market from other mature and immature...
Persistent link: https://www.econbiz.de/10014383518
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An experiment on information presentation and investor mutual fund selection
Anderson, Billie; Mauck, Nathan; Salzsieder, Leigh - In: Cogent economics & finance 11 (2023) 1, pp. 1-22
, individuals allocate nearly 27% (43%) more of their investment dollars to the lowest fee index mutual fund when receiving fee …
Persistent link: https://www.econbiz.de/10014500726