LEARNING TO FORECAST PRICE

We study learning in an individual choice price forecasting task in which subjects must learn coefficients of two independent variables in stationary linear stochastic processes. The 99 subjects each forecast in 480 trials with feedback. Learning is tracked by fitting individual forecasts to the ind...

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Bibliographic Details
Published inEconomic inquiry Vol. 40; no. 4; pp. 556 - 573
Main Authors Kelley, Hugh, Friedman, Daniel
Format Journal Article
LanguageEnglish
Published Oxford, UK Blackwell Publishing Ltd 01.10.2002
Blackwell Publishers Ltd
Western Economic Association
Subjects
Analysis
Computer programming
Economics
Equilibrium
Feedback
Forecasting
Forecasting techniques
Forecasts
Fruit juices
Futures
Independent variables
Laboratories
Learning
Learning models (Stochastic processes)
Macroeconomics
Medical diagnosis
Methods
Noise
Prices
Pricing
Stochastic models
Studies
Variables
Work study
Online AccessGet full text
ISSN0095-2583
1465-7295
DOI10.1093/ei/40.4.556

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Summary:We study learning in an individual choice price forecasting task in which subjects must learn coefficients of two independent variables in stationary linear stochastic processes. The 99 subjects each forecast in 480 trials with feedback. Learning is tracked by fitting individual forecasts to the independent variables. Results: (1) Learning is fairly consistent with respect to objective values, but with slight tendency toward overresponse. (2) Learning is noticeably slower than the Marcet‐Sargent ideal. Two striking treatment effects are tendencies toward (3) overresponse with high background noise and (4) underresponse with asymmetric coefficients.
Bibliography:istex:E2F6E7C2968CE877E66078E38CD5D43539D59FD5
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ArticleID:ECIN556
This work is supported byNSF grants SBR 9310347 and SBR 9617917. It benefited from the comments of Jules Leichter, Cominic Massaro, Rachel Caroson, Vailam Mui, and especially Arligton Williams, as well as participants at the Economics Science Association and Public Choice Society mettings at Tucson and New Orleans.The expositon Benefited considerably form the thoughtful suggestoins of two anonymous referees and editor Welliam Nielson.
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ISSN:0095-2583
1465-7295
DOI:10.1093/ei/40.4.556