Abstract
In this paper we estimate the distribution of the initial predictions of the Heemeijer et al. [5] Learning-to-Forecast experiment. By design, these initial predictions were uninformed. We show that in fact they have a non-continuous distribution and that they systematically under-evaluate the fundamental price. Our conclusions are based on Diks et al. [2] test which measures the proximity of two vector sets even if their underlying distributions are non-continuous.We show how this test can be used as a fitness for Genetic Algorithm optimization procedure. The resulting methodology allows for fitting non-continuous distribution into abundant empirical data and is designed for repeated experiments.
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© 2012 Springer-Verlag Berlin Heidelberg
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Diks, C., Makarewicz, T. (2012). Initial Predictions in Learning-to-Forecast Experiment. In: Teglio, A., Alfarano, S., Camacho-Cuena, E., Ginés-Vilar, M. (eds) Managing Market Complexity. Lecture Notes in Economics and Mathematical Systems, vol 662. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-31301-1_18
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DOI: https://doi.org/10.1007/978-3-642-31301-1_18
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