Experimental finance

Bloomfield, Robert J., and Alyssa G. Anderson. “Experimental finance." (2010), Johnson School Research Paper Series No. 23-2010. [鏈結網址]
== YNY: 這篇文章介紹實驗方法在財務上的應用==
作者指出目前實驗財務最重要的研究課題是
市場整合資訊和如何消除個別偏誤的現象
one of the most important streams in experimental finance that relates directly to behavioral finance: the ability of markets to aggregate information and eliminate individual biases.
實驗一般來說在測試 3種假設
  • 結構假設 (例如 動機, 資訊傳遞, 行為, 互動方式)
  • 行為假設 (例如 偏好 效用極大化, 效用函數的形式, 決策能力)
  • 均衡假設 (例如 貝氏Nash 均衡, 理性預期, 無套利價格)

(最後還提到另一種是 測試沒有解的 model, 例如 noise trader)

實驗設計 demonstration  vs 控制實驗
分析方法
The base-rate fallacy is the tendency for people to overweight current information rather than the initial base rate

Abstract

Experiments are an underused method in finance and have natural advantages for behavioral finance. Experiments can provide a useful means to circumvent several common econometric issues such as omitted variables, unobserved variables, and self-selection. Experiments can extend the theoretical models they test by relaxing various assumptions or examining settings that are too complex to be addressed analytically. Whether or not theoretical predictions are clearly known in advance, experiments are most informative when they rely on controlled manipulation, which is the source of their inferential power.

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