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An Inquiry into Interaction Between Expectations of Traders and Their Transactions in Markets, with the Aim of Designing a Mechanism to Control Mispricing

Research Project

Project/Area Number 26380409
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Money/ Finance
Research InstitutionTokoha University

Principal Investigator

AKINAGA Toshiaki  常葉大学, 経営学部, 准教授 (60286606)

Co-Investigator(Kenkyū-buntansha) 赤井 研樹  島根大学, 学術研究院医学・看護学系, 講師 (20583214)
小田 秀典  京都産業大学, 経済学部, 教授 (40224240)
Project Period (FY) 2014-04-01 – 2020-03-31
Project Status Completed (Fiscal Year 2019)
Budget Amount *help
¥4,940,000 (Direct Cost: ¥3,800,000、Indirect Cost: ¥1,140,000)
Fiscal Year 2018: ¥520,000 (Direct Cost: ¥400,000、Indirect Cost: ¥120,000)
Fiscal Year 2017: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2016: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2015: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2014: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Keywords集合知 / 資産市場実験 / 期待形成 / ミスプライシング / 異質経済主体 / 再帰性 / ファイナンス
Outline of Final Research Achievements

We investigate the interdependence between pricing and expectations. We study not only the ways in which traders' thoughts determine asset prices, but also the feedback process from prices to expectations. In our laboratory market, subjects are asked to predict the number of balls in a jar and trade an asset whose value is equal to that number. Our asset market is similar to futures markets in that transactions are eventually settled at an asset value. Subjects alternately repeat this process of guessing and transacting.
We find a downward bias in subjects' predictions, which leads to lower prices in the market. Subjects’s experiences in our laboratory markets have no systematic effect on the accuracy of predictions, but make them less heterogenous. Our subjects are likely to revise their predictions with reference to market prices and adjust them to an average price level. Prices often show a good convergence to an equilibrium price level.

Academic Significance and Societal Importance of the Research Achievements

効率的な市場制度の設計のためには、価格が資産の価値をどれだけ正確に反映するかを知る必要がある。現実の市場では、資産の価値が明らかではない。実験市場では、資産価値をパラメタとして設定するので、価格と価値の乖離が観察できる。
従来の資産市場実験では、株式を模して資産を設計していたため、実験資産の価値は配当の確率分布により規定されていた。本研究では、瓶に詰まった玉の数によって、実験資産の価値を規定した。その価値は確定的であるが、被験者の視覚的認知能力の限界が、価値や価格の予測に関する不確実性を作り出している。ここには明確な確率分布は存在せず、ナイトやケインズが論じた真の意味での不確実性になっている。

Report

(7 results)
  • 2019 Annual Research Report   Final Research Report ( PDF )
  • 2018 Research-status Report
  • 2017 Research-status Report
  • 2016 Research-status Report
  • 2015 Research-status Report
  • 2014 Research-status Report

Research Products

(7 results)

All 2019 2018 2017 2015

All Presentation (7 results) (of which Int'l Joint Research: 5 results,  Invited: 1 results)

  • [Presentation] Interaction Between Price and Expectation in Experimental Asset Markets2019

    • Author(s)
      Toshiaki Akinaga
    • Organizer
      The Workshop on Economic Science with Heterogeneous Interacting Agents
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Interaction Between Price and Expectation in Experimental Asset Markets2019

    • Author(s)
      Toshiaki Akinaga
    • Organizer
      Workshop on the Economic Science with Heterogeneous Interacting Agents
    • Related Report
      2018 Research-status Report
    • Int'l Joint Research
  • [Presentation] My Quest for The Secrets in The Market: A challenge by experimentation2018

    • Author(s)
      Toshiaki Akinaga
    • Organizer
      LINEEX and KEEL Collaborated Workshop
    • Related Report
      2018 Research-status Report
    • Int'l Joint Research / Invited
  • [Presentation] Reflexivity and Mispricing in Experimental Markets2018

    • Author(s)
      Toshiaki Akinaga
    • Organizer
      International Symposium in Computational Economics and Finance
    • Related Report
      2018 Research-status Report
    • Int'l Joint Research
  • [Presentation] Reflexivity and Mispricing in Experimental Markets2018

    • Author(s)
      Toshiaki Akinaga
    • Organizer
      5th International Symposium in Computational Economics and Finance
    • Related Report
      2017 Research-status Report
    • Int'l Joint Research
  • [Presentation] 実験市場における主観的予測と市場価格の相互作用2017

    • Author(s)
      秋永 利明
    • Organizer
      日本金融・証券計量・工学学会
    • Place of Presentation
      武蔵大学
    • Year and Date
      2017-02-18
    • Related Report
      2016 Research-status Report
  • [Presentation] 市場システムの主観的予測形成に関する経済実験2015

    • Author(s)
      秋永 利明
    • Organizer
      日本経営工学会
    • Place of Presentation
      金沢工業大学 扇が丘キャンパス
    • Year and Date
      2015-11-28
    • Related Report
      2015 Research-status Report

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Published: 2014-04-04   Modified: 2021-02-19  

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