How does informational heterogeneity affect the quality of forecasts?

Details How does informational heterogeneity affect the quality of forecasts? How does informational heterogeneity affect the quality of forecasts?

2009-06-02

arxiv.org/abs/0906.0552v2

Physics

Physics and Society

11 pages, 5 figures, updated version (to appear in Physica A)

Scientific paper

We investigate a toy model of inductive interacting agents aiming to forecast a continuous, exogenous random variable E. Private information on E is spread heterogeneously across agents. Herding turns out to be the preferred forecasting mechanism when heterogeneity is maximal. However in such conditions aggregating information efficiently is hard even in the presence of learning, as the herding ratio rises significantly above the efficient-market expectation of 1 and remarkably close to the empirically observed values. We also study how different parameters (interaction range, learning rate, cost of information and score memory) may affect this scenario and improve efficiency in the hard phase.

Affiliated with

Also associated with

No associations

Rating

How does informational heterogeneity affect the quality of forecasts? does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with How does informational heterogeneity affect the quality of forecasts?, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and How does informational heterogeneity affect the quality of forecasts? will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-235718