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Expectation formation in an experimental foreign exchange market

  • Johannes Leitner


  • Robert Schmidt


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    Article provided by Springer in its journal Central European Journal of Operations Research.

    Volume (Year): 15 (2007)
    Issue (Month): 2 (June)
    Pages: 167-184

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    Handle: RePEc:spr:cejnor:v:15:y:2007:i:2:p:167-184
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    1. Cheung, Yin-Wong & Chinn, Menzie David, 2001. "Currency traders and exchange rate dynamics: a survey of the US market," Journal of International Money and Finance, Elsevier, vol. 20(4), pages 439-471, August.
    2. Noussair, Charles N. & Plott, Charles R. & Riezman, Raymond. G., 1995. "The Principles of Exchange Rate Determination in an International Finance Experiment," Working Papers 908, California Institute of Technology, Division of the Humanities and Social Sciences.
    3. Hey, John D., 1994. "Expectations formation: Rational or adaptive or ...?," Journal of Economic Behavior & Organization, Elsevier, vol. 25(3), pages 329-349, December.
    4. H. Peyton Young, 1996. "The Economics of Convention," Journal of Economic Perspectives, American Economic Association, vol. 10(2), pages 105-122, Spring.
    5. Cars Hommes & Joep Sonnemans & Jan Tuinstra & Henk van de Velden, 2004. "Coordination of Expectations in Asset Pricing Experiments," DNB Staff Reports (discontinued) 119, Netherlands Central Bank.
    6. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
    7. Becker, Otwin & Leitner, Johannes & Leopold-Wildburger, Ulrike, 2007. "Heuristic modeling of expectation formation in a complex experimental information environment," European Journal of Operational Research, Elsevier, vol. 176(2), pages 975-985, January.
    8. George A. Akerlof, 2002. "Behavioral Macroeconomics and Macroeconomic Behavior," American Economic Review, American Economic Association, vol. 92(3), pages 411-433, June.
    9. Hommes, Cars & Sonnemans, Joep & Tuinstra, Jan & van de Velden, Henk, 2008. "Expectations and bubbles in asset pricing experiments," Journal of Economic Behavior & Organization, Elsevier, vol. 67(1), pages 116-133, July.
    10. Sunder, S., 1992. "Experimental Asset Markets: A Survey," GSIA Working Papers 1992-19, Carnegie Mellon University, Tepper School of Business.
    11. Beckman, Steven R. & Downs, David, 1997. "Forecasters as imperfect information processors: Experimental and survey evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 32(1), pages 89-100, January.
    12. Lawson, Tony, 1985. "Uncertainty and Economic Analysis," Economic Journal, Royal Economic Society, vol. 95(380), pages 909-27, December.
    13. Gerald P. Dwyer & Arlington W. Williams & Raymond Battalio & Timothy Mason, 1989. "Tests of rational expectations in a stark setting," Working Papers 1989-001, Federal Reserve Bank of St. Louis.
    14. R. Mark Isaac & Duncan James, 2000. "Asset Markets: How They Are Affected by Tournament Incentives for Individuals," American Economic Review, American Economic Association, vol. 90(4), pages 995-1004, September.
    15. Heemeijer, P. & Hommes, C.H. & Sonnemans, J. & Tuinstra, J., 2004. "Forming price expectations in positive and negative feedback systems," CeNDEF Working Papers 04-15, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    16. Arrow, Kenneth J, 1986. "Rationality of Self and Others in an Economic System," The Journal of Business, University of Chicago Press, vol. 59(4), pages S385-99, October.
    17. Shleifer, Andrei, 2000. "Inefficient Markets: An Introduction to Behavioral Finance," OUP Catalogue, Oxford University Press, number 9780198292272.
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