The relation between the diversity in traders' price forecasts and the market behavior

2023 Fiscal Year Final Research Report

• Project/Area Number: 20K04979
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Review Section: Basic Section 25010:Social systems engineering-related
• Research Institution: University of Tsukuba
• Principal Investigator: Akiyama Eizo 筑波大学, システム情報系, 教授 (40317300)
• Project Period (FY): 2020-04-01 – 2024-03-31
• Keywords: 社会システム / シミュレーション / 被験者実験 / 人工市場

Outline of Final Research Achievements

We analyze price dynamics in experimental financial markets and examine the relationship between the heterogeneity of traders' price forecasts and market behavior. Although the importance of price forecasts in forming transaction prices has been highlighted, measuring forecasts in real markets is almost impossible. By constructing an experimental market, we elicit participants' price forecasts, and our analysis reveals that participants' price forecasts are influenced by recent price trends and past price information. Sharing short-term forecasts adjusts market participants' expectations toward the median, while sharing long-term forecast information stabilizes prices near theoretical values. The results clarify the relationship between reduced heterogeneity in price forecasts and price stabilization.

Free Research Field

社会シミュレーション, 行動実験

Academic Significance and Societal Importance of the Research Achievements

本研究は、市場における参加者の価格予測の異質性が市場の価格変動に与える影響を実験的に検証し、その結果から、参加者の短期予測の情報の共有により短期的価格予測の市場内の異質性が減少すること、長期予測に関する情報の共有が将来の価格に参加者の意識を向ける可能性が示されている。予測の異質性を減じるための情報共有が市場価格形成にどのような影響をもたらすかを直接検証した初めての研究となっており、例えば先物価格が市場ダイナミクスの安定化に与える影響の理解等に寄与する可能性を示している。