Abstract
Models of economic behavior under conditions of uncertainty typically describe the influence of subjective beliefs about future outcomes on market behavior. Tests of such models are limited by the lack of hard information regarding expectations. We report here on an experiment in which we obtain a direct measure of expectations regarding a particular natural event and detailed information regarding market transactions in a futures contract using that event as a fundamental. This unique coincidence of direct observations on expectations and concurrent market behavior permits an assessment of the consistency of behavior and expectations which is not possible from any other data as far as we know.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Brüggelambert, G. (1996). Marginal traders und die Hayek—Hypothese: Erfahrungen mit einer computerisierten Borse, in de Gijsel et al. (ed.), Okonomie und Gesellschaft, Vol. 13, Campus, Frankfurt/New York, pp. 214–295.
Brüggelambert, G. (1997a). Meinungsumfragen als informationstragende Institutionen: Eine okonometrische Untersuchung der Entscheidungs-und Erwartungsbildung an politischen Borsen, Zeitschrift fair Wirtschafts-und Sozialwissenschaften 117: 257–289.
Brüggelambert, G. (1997b). Von Insidern„marginal traders’ und Gliicksrittern: Zur Relevanz von Entscheidungsanomalien in politischen Borsen, Jahrbiicher fair Nationaliikonomie und Statistik 216: 45–73.
Brüggelambert, G. (1999). Institutionen als Informationstrager: Erfahrungen mit Wahlborsen, Metropolis, Marburg.
Brüggelambert, G. and Criiger, A. (2001). Experiences from a complex market experiment, Surveys, in E Bolle and M. Lehmann-Waffenschmidt (eds), Experimental Economics: Bargaining, Cooperation and Election Stock Markets, Physica-Verlag, Heidelberg/New York.
Camerer, C. and Weber, M. (1992). Recent developments in modelling preferences: uncertainty and ambiguity, Journal of Risk and Uncertainty 5: 325–370.
Forsythe, R. and Lundholm, R. (1990). Information Aggregation in an Experimental Market, Econometrica 58: 309–347.
Forsythe, R., Frank, M., Krishamurtey, V. and Ross, T. (1995). Using Market Price to Predict Election Results: The 1993 UBC Election Market, Canadian Journal of Economics 28: 770–793.
Forsythe, R., Nelson, F., Neumann, G. and Wright, J. (1991a). Forecasting the 1988 Presidential Election: A Field Experiment, in R. M. Isaac (ed.), Research in Experimental Economics, Vol. 4, JAI Press, Greenwich, pp. 1–44.
Forsythe, R., Nelson, F., Neumann, G. and Wright, J. (1991b). Forecasting Elections: A Market Alternative to Polls, in T. Palfrey (ed.), Laboratory Research in Political Economy, University of Michigan Press, Michigan, pp. 69–112.
Forsythe, R., Nelson, F., Neumann, G. and Wright, J. (1992). The Anatomy of an Experi-mental Political Stock Market, American Economic Review 82: 1142–1161.
Nelson, F. (1987). Logit, Probit and Tobit, in Eatwell, Milgate and Newman (eds), The New Palgrave: A Dictionary of Economics, The Macmillan Press Ltd., London.
Pein, R. (1993). Portfolioannalyse eines Marktexperimentes, unpublished Diploma-thesis, Frankfurt am Main.
Tietz, R. (1992a). An Endowment effect in market experiments?, in S. Lea, P. Webley and B. Young (eds), New Directions in Economic Psychology, Theory, Experiment and Application, Edward Elgar, Aldershot, pp. 99–121.
Tietz, R. (1992b). Semi-normative theories based on bounded rationality, Journal of Economic Psychology 13: 297–314.
Tietz, R. (1992c). The Shift of Supply and Demand Functions due to the Spiral of Planning, Discussion Paper, Frankfurter Arbeiten zur experimentellen Wirtschaftsforschung A 32, J.W.Goethe-Universitat, Frankfurt am Main.
Tietz, R. (1996). Experimentelle Wirtschaftsforschung-Wege zur Modellierung eingeschrankter Rationalitat, in de Gijsel et al. (ed.), Okonomie and Gesellschaft, Vol. Jahrbuch 13 of Experiments in Economics - Experimente in der Okonomie, Campus, Frankfurt /New York, pp. 120–155.
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2002 Springer-Verlag Berlin Heidelberg
About this chapter
Cite this chapter
Nelson, F., Tietz, R. (2002). Expectations and Rational Actions in an Experimental Financial Market. In: Bolle, F., Lehmann-Waffenschmidt, M. (eds) Surveys in Experimental Economics. Contributions to Economics. Physica, Heidelberg. https://doi.org/10.1007/978-3-642-57458-0_12
Download citation
DOI: https://doi.org/10.1007/978-3-642-57458-0_12
Publisher Name: Physica, Heidelberg
Print ISBN: 978-3-7908-1472-9
Online ISBN: 978-3-642-57458-0
eBook Packages: Springer Book Archive