Institutional Forecasting: The Performance of Thin Virtual Stock Markets
We study the performance of Virtual Stock Markets (VSMs) in an institutional forecasting environment. We compare VSMs to the Combined Judgmental Forecast (CJF) and the Key Informant (KI) approach. We find that VSMs can be effectively applied in an environment with a small number of knowledgeable informants, i.e., in thin markets. Our results show that none of the three approaches differ in forecasting accuracy in a low knowledge-heterogeneity environment. However, where there is high knowledge-heterogeneity, the VSM approach outperforms the CJF approach, which in turn outperforms the KI approach. Hence, our results provide useful insight into when each of the three approaches might be most effectively applied.
|Keywords||Electronic Markets, Forecasting, Information Markets, Virtual Stock Markets|
|Publisher||Erasmus Research Institute of Management (ERIM)|
van Bruggen, G.H., Spann, M., Lilien, G.L., & Skiera, B.. (2006). Institutional Forecasting: The Performance of Thin Virtual Stock Markets (No. ERS-2006-028-MKT). ERIM report series research in management Erasmus Research Institute of Management. Erasmus Research Institute of Management (ERIM). Retrieved from http://hdl.handle.net/1765/7840