Biased Learning Creates Overconfidence

doi:10.1007/s11424-018-7254-1

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	Biased Learning Creates Overconfidence
	Ni Xuanming 1; Wu Chen 2,3; Zhao Huimin 4
	2018-12-01
发表期刊	JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
ISSN	1009-6124
卷号	31 期号:6 页码:1603-1617
摘要	The aim of this paper is to develop a multi-period economic model to interpret how the people become overconfident by a biased learning that people tend to attribute the success to their abilities and failures to other factors. The authors suppose that the informed trader does not know the distribution of the precision of his private signal and updates his belief on the distribution of the precision of his knowledge by Bayer's rule. The informed trader can eventually recognize the value of the precision of his knowledge after an enough long time biased learning, but the value is overestimated which leads him to be overconfident. Furthermore, based on the definition on the luckier trader who succeeds the same times but has the larger variance of the knowledge, the authors find that the luckier the informed trader is, the more overconfident he will be; the smaller the biased learning factor is, the more overconfident the informed trader is. The authors also obtain a linear equilibrium which can explain some anomalies in financial markets, such as the high observed trading volume and excess volatility.
关键词	Bayes' rule biased learning overconfidence
DOI	10.1007/s11424-018-7254-1
语种	英语
WOS研究方向	Mathematics
WOS类目	Mathematics, Interdisciplinary Applications
WOS记录号	WOS:000452723900013
出版者	SPRINGER HEIDELBERG
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/31938
专题	中国科学院数学与系统科学研究院
通讯作者	Zhao Huimin
作者单位	1.Peking Univ, Sch Software & Microelect, Beijing 100871, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 3.Univ Chinese Acad Sci, Beijing 100049, Peoples R China 4.Sun Yat Sen Univ, Business Sch, Guangzhou 510275, Guangdong, Peoples R China
推荐引用方式 GB/T 7714	Ni Xuanming,Wu Chen,Zhao Huimin. Biased Learning Creates Overconfidence[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2018,31(6):1603-1617.
APA	Ni Xuanming,Wu Chen,&Zhao Huimin.(2018).Biased Learning Creates Overconfidence.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,31(6),1603-1617.
MLA	Ni Xuanming,et al."Biased Learning Creates Overconfidence".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY 31.6(2018):1603-1617.