What Do Humans Perceive in Asset Returns?
通过实验测试人类能否区分真实资产回报时间序列与合成序列，发现被试能辨别两者，反驳了强式有效市场假说，并探讨了表现与统计特征的关系。
In this article, the authors run experiments to test if and how human subjects can differentiate time series of actual asset returns from time series that are generated synthetically via various processes, including AR1. In contrast with previous anecdotal evidence, they find that subjects can distinguish between the two. These results show that temporal charts of asset prices convey to investors information that cannot be reproduced by summary statistics. They also provide a first refutation based on human perception of a strong form of the efficient-market hypothesis. Their experiments are implemented via an online video game (http://arora.ccs.neu.edu). The authors also link the subjects’ performance to statistical properties of the data and investigate whether subjects improve performance while playing. <b>TOPICS:</b>Portfolio theory, statistical methods