CeDEx
Centre for Decision Research and Experimental Economics

CeDEx workshop - Mike Bleaney (Nottingham)

Date(s)
Wednesday 9th February 2011 (14:00-15:00)
Description

Testing Behavioural Theories in the Foreign Exchange Market

After a run of heads in a toss of a fair coin, experimental evidence suggests that people anticipate another head after a long run, but a tail after a short run.  Gamblers in the casino show the opposite tendency (betting on black after a run of red wins at roulette).   We use tick-by-tick data from the foreign exchange market.  Results are consistent with those from the casino: there are more sales than purchases of a rising currency if it has risen for more than one trade.  We also show that signal strength (the speed of rise) has similar effects to streak length (the number of trades for which it has risen).

Centre for Decision Research and Experimental Economics

Sir Clive Granger Building
University of Nottingham
University Park
Nottingham, NG7 2RD

telephone: +44 (0)115 951 5458
Enquiries: jose.guinotsaporta@nottingham.ac.uk
Experiments: cedex@nottingham.ac.uk