Pattern-Based Expectations: International Experimental Evidence and Applications in Financial Economics
通过德国和日本的实验室实验，研究人们如何从金融时间序列中推断简单模式，发现不同文化下预期形成具有相似性，并基于实验数据提出一种计算经济时间序列预期的方法，该方法能解释股票价格和外汇远期贴水动态。
We study how subjects extrapolate simple patterns in financial time series in order to develop a descriptive model of actual agent behavior. The laboratory experiment for this analysis was conducted in Germany and Japan. Statistical analyses indicate considerable similarity in expectations formation across cultures and document that agents' expectations are at variance with the notion of standard trend extrapolation. The paper then proposes a method for computing expectations for any economic time series based on the experimental data. Such pattern-based expectations are shown to explain stock prices and the dynamics of the forward discount on the foreign exchange market. © 2011 The President and Fellows of Harvard College and the Massachusetts Institute of Technology.