CiteULike: Ключевое слово behavioral-finance

Intuitive evaluation of likelihood judgment producers: evidence for a confidence heuristic

Paul Price — 2005-05-31T21:52:55-00:00

Journal of Behavioral Decision Making, Vol. 17, No. 1. (16 December 2003), pp. 39-57.

This research tests the hypothesis of Yates et al. (1996) that people prefer judgment producers who make extreme confidence judgments. In each of three experiments, college students evaluated two fictional financial advisors who judged the likelihood that each of several stocks would increase in value. One of the advisors (the moderate advisor) was reasonably well calibrated and the other (the extreme advisor) was overconfident. In all three experiments, participants tended to prefer the extreme advisor. Experiments 2 and 3 showed that the advisors' confidence influenced participants' perception of their knowledge, and Experiment 3 showed that it influenced their perception of the number of categorically correct judgments they made. Both of these variables were, in turn, related to participants' preferences. Experiment 3 also suggested that need for cognition and right-wing authoritarianism are positively related to preference for the extreme advisor. A quantitative model is presented, which captures the basic pattern of results. This model includes the assumption that people use a confidence heuristic; they assume that a more confident advisor makes more categorically correct judgments and is more knowledgeable. Copyright © 2004 John Wiley & Sons, Ltd.

Mental accounting and decision making: Evidence under reverse conditions where money is spent for time saved

Darren Duxbury — 2005-07-04T12:10:47-00:00

Journal of Economic Psychology, Vol. 26, No. 4. (August 2005), pp. 567-580.

Evidence from the behavioural decision literature suggests that economic decisions may be made on less than rational grounds. In this respect the formation of 'mental accounts' by individuals has been used to explain apparent departures from rationality in certain scenarios. The purpose of this paper is to establish the general applicability of mental accounting by investigating multi-attribute decisions where the following conditions vary: (1) the denomination of the mental account (i.e. whether the saving is denominated in money, as is classically the case, or time) and (2) the absolute saving level. Using a novel decision scenario, we replicate the prior findings of mental accounting effects under the classical conditions where individuals trade-off time spent for money saved, though these effects are sensitive to the level of absolute saving. However, when the conditions of the decision scenario are reversed, such that individuals trade-off money spent for time saved, mental accounting effects are no longer observed. This result is robust irrespective of whether participants are required to state maximum willingness to spend time/money or face a choice (yes/no) task. These findings qualify the results reported in prior studies, suggesting that mental accounting effects maybe context specific and suffer from a lack of generality.

The Neural Basis of Financial Risk Taking

Camelia Kuhnen — 2005-09-06T08:06:36-00:00

Neuron, Vol. 47, No. 5. (1 September 2005), pp. 763-770.

SummaryInvestors systematically deviate from rationality when making financial decisions, yet the mechanisms responsible for these deviations have not been identified. Using event-related fMRI, we examined whether anticipatory neural activity would predict optimal and suboptimal choices in a financial decision-making task. We characterized two types of deviations from the optimal investment strategy of a rational risk-neutral agent as risk-seeking mistakes and risk-aversion mistakes. Nucleus accumbens activation preceded risky choices as well as risk-seeking mistakes, while anterior insula activation preceded riskless choices as well as risk-aversion mistakes. These findings suggest that distinct neural circuits linked to anticipatory affect promote different types of financial choices and indicate that excessive activation of these circuits may lead to investing mistakes. Thus, consideration of anticipatory neural mechanisms may add predictive power to the rational actor model of economic decision making.

Toward Quantum Behavioral Finances: Bohmian Approach

O Choustova — 2007-12-27T14:30:31-00:00

ArXiv Quantum Physics e-prints (September 2001)

We apply methods of quantum mechanics for mathematical modeling of price dynamics at the financial market. We propose to describe behavioral financial factors (e.g., expectations of traders) by using the pilot wave (Bohmian) model of quantum mechanics. Trajectories of prices are determined by two financial potentials: classical-like $V(q)$ ("hard" market conditions, e.g., natural resources) and quantum-like $U(q)$ (behavioral market conditions). On one hand, our Bohmian model is a quantum-like model for the financial market, cf. with works of W. Segal, I. E. Segal, E. Haven, E. W.Piotrowski, J. Sladkowski. On the other hand, (since Bohmian mechanics provides the possibility to describe individual price trajectories) it belongs to the domain of extended research on deterministic dynamics for financial assets (C.W. J. Granger, W.A. Barnett, A. J. Benhabib, W.A. Brock, C. Sayers, J. Y. Campbell, A. W. Lo, A. C. MacKinlay, A. Serletis, S. Kuchta, M. Frank, R. Gencay, T. Stengos, M. J. Hinich, D. Patterson, D. A. Hsieh, D. T. Caplan, J.A. Scheinkman, B. LeBaron and many others).

Minority Games (Oxford Finance S.)

Damien Challet — 2005-07-05T15:58:43-00:00

(30 November 2004)

The Minority Game is a physicist's attempt to explain market behavior by the interaction between traders. With a minimal set of ingredients and drastic assumptions, this model reproduces market ecology among different types of traders. Its emphasis is on speculative trading and information flow. The book first describes the philosophy lying behind the conception of the Minority Game in 1997, and includes in particular a discussion about the El Farol bar problem. Then it reviews the main steps in later developments, including both the theory and its applications to market phenomena. This book gives a colorful and stylized, but also realistic picture of how financial markets operate.