{"title":"作为群体实验的汇率预测:群体智慧中的现实偏差与事实趋同效应","authors":"Haruo H. Horaguchi","doi":"10.1108/rbf-09-2021-0176","DOIUrl":null,"url":null,"abstract":"PurposeThis article examines the accuracy and bias inherent in the wisdom of crowd effect. The purpose is to clarify what kind of bias crowds have when they make predictions. In the theoretical inquiry, the effect of the accumulated absolute deviation was simulated. In the empirical study, the observed biases were examined using data from forecasting foreign exchange rates.Design/methodology/approachIn the theoretical inquiry, the effect of the accumulated absolute deviation was simulated based on mathematical propositions. In the empirical study, the data from 2004 to 2011 were provided by Nikkei, which holds the “Nikkei Yen Derby” competition. In total, 3,657 groups forecasted the foreign exchange rate, and the first prediction was done in early May to forecast the rate at the end of May. The second round took place in June in a similar manner.FindingsThe average absolute deviation in May was smaller than that in June. The first round of prediction was more accurate than the second round one. Predictors were affected by the observable real exchange rate, such that they modified their forecasts by referring to the actual data in early June. An actuality bias existed when the participants lost their diverse prospects. Since the standard deviations of the June forecasts were smaller than those of May, the fact-convergence effect was supported.Originality/valueThis article reports novel findings that affect the wisdom of crowd effect—referred to as actuality bias and fact-convergence effect. The former refers to a forecasting bias toward the observable rate near the forecasting date. The latter implies that predictors, as a whole, indicate smaller forecast deviations by observing the realized foreign exchange rate.","PeriodicalId":44559,"journal":{"name":"Review of Behavioral Finance","volume":null,"pages":null},"PeriodicalIF":1.9000,"publicationDate":"2022-03-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Forecasting foreign exchange rates as group experiment: actuality bias and fact-convergence effect within wisdom of crowds\",\"authors\":\"Haruo H. Horaguchi\",\"doi\":\"10.1108/rbf-09-2021-0176\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"PurposeThis article examines the accuracy and bias inherent in the wisdom of crowd effect. The purpose is to clarify what kind of bias crowds have when they make predictions. In the theoretical inquiry, the effect of the accumulated absolute deviation was simulated. In the empirical study, the observed biases were examined using data from forecasting foreign exchange rates.Design/methodology/approachIn the theoretical inquiry, the effect of the accumulated absolute deviation was simulated based on mathematical propositions. In the empirical study, the data from 2004 to 2011 were provided by Nikkei, which holds the “Nikkei Yen Derby” competition. In total, 3,657 groups forecasted the foreign exchange rate, and the first prediction was done in early May to forecast the rate at the end of May. The second round took place in June in a similar manner.FindingsThe average absolute deviation in May was smaller than that in June. The first round of prediction was more accurate than the second round one. Predictors were affected by the observable real exchange rate, such that they modified their forecasts by referring to the actual data in early June. An actuality bias existed when the participants lost their diverse prospects. Since the standard deviations of the June forecasts were smaller than those of May, the fact-convergence effect was supported.Originality/valueThis article reports novel findings that affect the wisdom of crowd effect—referred to as actuality bias and fact-convergence effect. The former refers to a forecasting bias toward the observable rate near the forecasting date. The latter implies that predictors, as a whole, indicate smaller forecast deviations by observing the realized foreign exchange rate.\",\"PeriodicalId\":44559,\"journal\":{\"name\":\"Review of Behavioral Finance\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":1.9000,\"publicationDate\":\"2022-03-14\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Review of Behavioral Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1108/rbf-09-2021-0176\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Review of Behavioral Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1108/rbf-09-2021-0176","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Forecasting foreign exchange rates as group experiment: actuality bias and fact-convergence effect within wisdom of crowds
PurposeThis article examines the accuracy and bias inherent in the wisdom of crowd effect. The purpose is to clarify what kind of bias crowds have when they make predictions. In the theoretical inquiry, the effect of the accumulated absolute deviation was simulated. In the empirical study, the observed biases were examined using data from forecasting foreign exchange rates.Design/methodology/approachIn the theoretical inquiry, the effect of the accumulated absolute deviation was simulated based on mathematical propositions. In the empirical study, the data from 2004 to 2011 were provided by Nikkei, which holds the “Nikkei Yen Derby” competition. In total, 3,657 groups forecasted the foreign exchange rate, and the first prediction was done in early May to forecast the rate at the end of May. The second round took place in June in a similar manner.FindingsThe average absolute deviation in May was smaller than that in June. The first round of prediction was more accurate than the second round one. Predictors were affected by the observable real exchange rate, such that they modified their forecasts by referring to the actual data in early June. An actuality bias existed when the participants lost their diverse prospects. Since the standard deviations of the June forecasts were smaller than those of May, the fact-convergence effect was supported.Originality/valueThis article reports novel findings that affect the wisdom of crowd effect—referred to as actuality bias and fact-convergence effect. The former refers to a forecasting bias toward the observable rate near the forecasting date. The latter implies that predictors, as a whole, indicate smaller forecast deviations by observing the realized foreign exchange rate.
期刊介绍:
Review of Behavioral Finance publishes high quality original peer-reviewed articles in the area of behavioural finance. The RBF focus is on Behavioural Finance but with a very broad lens looking at how the behavioural attributes of the decision makers influence the financial structure of a company, investors’ portfolios, and the functioning of financial markets. High quality empirical, experimental and/or theoretical research articles as well as well executed literature review articles are considered for publication in the journal.