Exploring the Nature of Trader Intuition

• 成果类型: Article
• 署名作者: Bruguier, Antoine J.; Quartz, Steven R.; Bossaerts, Peter
• 署名单位: California Institute of Technology; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2010.01591.x
• 发表日期: 2010
• 页码: 1703-1723
• 关键词: rational-expectations equilibrium; PREDICTION ERRORS; INFORMATION; RISK; prices; mind

摘要

Experimental evidence has consistently confirmed the ability of uninformed traders, even novices, to infer information from the trading process. After contrasting brain activation in subjects watching markets with and without insiders, we hypothesize that Theory of Mind (ToM) helps explain this pattern, where ToM refers to the human capacity to discern malicious or benevolent intent. We find that skill in predicting price changes in markets with insiders correlates with scores on two ToM tests. We document GARCH-like persistence in transaction price changes that may help investors read markets when there are insiders.