Научный семинар Нобуюки Ханаки (Университет Экс-Марсель): «Individual irrationality and lack of common knowledge of rationality in experimental asset markets»
В четверг, 7 июня в 16.40 в ауд. Ж-822 (Покровский бульвар, 11) пройдет научный семинар МИЭФ.
Докладчик: Нобуюки Ханаки (Университет Экс-Марсель)
Тема доклада: «Individual irrationality and lack of common knowledge of rationality in experimental asset markets»
Тезисы доклада:We study the causes of asset price bubbles in experimental asset market. In particular, we are interested in separating the effect of individual irrationality and the lack of common knowledge of rationality in such markets. For this purpose, we have constructed experimental asset markets under the call market rule, and asked the subjects to submit their expectation about the asset prices in the remaining periods as well as their buy and/or sell orders. In one treatment, we consider all six traders to be human subjects (6H). In another treatment, we consider one human subject interacts with five computer traders (1H5C). The computer traders behave rationally assuming all the other traders are rational (i.e., submit orders at the fundamental values, FVs). We explain this behavioral assumption of computer traders to the human subjects. We also explain how many traders in the market are humans and computer programs. In 1H5C treatment, the initial deviations of the price expectations from FVs must be due to subjects' individual irrationality. On the other hand, in 6H treatment, the initial deviations of the price expectations from FVs can be due to both the subjects' individual irrationality and their expectations about others' irrationality (lack of common knowledge). Thus, the difference between the two treatments, if any, shows the initial deviation of price expectations because of the lack of common knowledge of rationality. Our results show that there is no significant difference in the initial deviation of forecasted prices from fundamental values between the two treatments. Thus, it is not the lack of common knowledge of rationality, but the individual irrationality, that drives the initial deviation of forecasted prices from the fundamental values.
Рабочий язык семинара - английский.
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