Learning to be overconfident
Learning to be overconfident
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DOI：
10.1093/rfs/14.1.1
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发表时间：
2001-03-01
影响因子：
8.2
通讯作者：
Odean, T
中科院分区：
文献类型：
--
作者：
Gervais, S;Odean, T
我们开发了一个多期市场模型，描述了交易者了解自己能力的过程，以及这种学习中的偏见如何导致过度自信的交易者。在我们的模型中，交易者最初并不知道自己的能力。他从自己的成功和失败中推断出这种能力。在评估自己的能力时，交易者把自己的成功归功于自己。这使他变得过于自信。交易员的预期过度自信水平在他职业生涯的早期阶段会增加。然后，随着经验的增加，他会更好地认识到自己的能力。分析了这种内生过度自信导致的交易量、预期利润、价格波动和预期价格的模式。
We develop a multiperiod market model describing both the process by which traders learn about their ability and how a bias in this learning can create overconfident traders. A trader in our model initially does not know his own ability. He infers this ability from his successes and failures. In assessing his ability the trader takes too much credit for his successes. This leads him to become overconfident. A trader's expected level of overconfidence increases in the early stages of his career. Then, with more experience, he comes to better recognize his own ability. The patterns in trading volume, expected profits, price volatility, and expected prices resulting from this endogenous overconfidence are analyzed.