本篇主要是依循Allen, Morris and Shin(2003) 的文章脈絡，利用建立一個帶有雜質的(即受供給面衝擊的)理性預期模型，使期貨價格無法完全反映期貨市場中的真實訊息，並將重覆預期的概念套入商品期貨的價格模型當中，討論是否期貨價格會受公開訊息的影響較大，而較不重視貨市場真實情形的私人訊息，進而了解商品期貨市場中的參與者過度倚賴公開訊息做決策時，可能會造成期貨價格偏離其基本價值的情形。 由模型推導結果我們歸納出與Allen, Morris and Shin(2003) 一致的結論－當市場中的參與者對市場的平均作預期，藉以猜測其他人的想法時，其預期受市場公開訊息的影響程度可能較深，反而受較貼近市場真實價格的私人訊息影響較小，產生使市場被公開訊息支配的情形。 / This paper primary follows the methods derived by Allen, Morris, and Shin (2003), using a contaminated, or with a supply shock, rational expectation model to build the linear relationship for commodity futures price. In this way, the price could not fully reflect the true information in commodity futures price. Besides, we also use the notion of iterated expectation in our futures price model, and try to figure out whether the price is influences mainly by the public information, but no the true information in the market. Thus, we can imply form this that when participants excessively depend on public information to make decisions, it may cause the futures price to deviate from its true information and thus its fundamental value. 　　From the derivation of our model, we can have identical conclusion as Allen, Morris and Shin (2003) put it－when participants in the market doing expectations about the market’s average to guess other participants’ opinions, their expectation may be influenced mostly by public information in the market but not the true, or private, information they possess, which may result in futures prices dominating by the public information.

基於凱因斯選美競賽概念我們知道，如果要掌握金融市場的整個運作過程，除了要了解市場參與者所持有的信念外，更要進一步去了解市場參與者對其他市場參與者的信念的可能看法，也就是所謂的高階信念。因此，本篇研究的主要目的是嘗試描述高階預期概念在資產定價模型中所扮演的角色，同時也可以檢驗凱因斯的選美競賽理論是否可以幫助我們了解資產價格的形成過程。第二個目的是利用資產定價模型進一步去檢視市場交易者是否對公開訊息有過度反應的現象。 透過建立噪音的理性預期模型來推導外匯價格的預期形成過程發現，外匯價格所傳遞的訊息為偏誤的訊息，亦即在供給衝擊下的平均外匯價格並不會完全反映外匯真實價值，其反映的是外匯資產真實價值及公開訊息的線性組合。此外，經過進一步研究後發現，外匯價格的預期受公開訊息的影響程度遠大於真實訊息，亦即市場上的外匯價格預期對公開訊息有過度反應的現象。 另外，模型的研究結果指出，造成市場參與者對於公開訊息產生過度反應的原因有：投機者的人數比例、投機者的風險愛好程度以及私有訊息的精確度等三項。 / Based on Keynes’s beauty contest theory, if you want to know the operation of financial market, you should understand market participants' beliefs and market participants' beliefs about other market participants’ beliefs, which is called the higher order beliefs. The goal of the paper is to illuminate the role of higher order expectations in the asset pricing model, and thereby to explore the extent to which Keynes’s beauty contest theory is useful in thinking about asset prices. The second goal of this paper is to use the asset pricing model to examine whether market participants overreact to public information. By setting up the noisy rational expectations model, we know that exchange rate is biased signal of the underlying fundamental value. Mean exchange rate taken over realization of the supply shocks are given by convex combination of the true value and public information. Moreover, the distribution of exchange rates is biased towards public information relative to the true value. That is, there is an overreaction to public information. Finally, the model indicates that there are three factors to explain why market participants overreact to public information. These factors are the proportion of speculators, the risk aversion of speculators and the precision of private information.

本文研究的主要目的為研究學習行為與智能的相關性，採經驗加權吸引模型(Experience-Weighted Attraction)來描述受測者在選美競賽賽局(Beauty Contest Game)實驗下的決策及行為，不單只選擇強化學習或信念學習模型，其理由為經驗加權吸引模型綜合了以上兩個學習的特點；在智能的部分，本文以實驗所得的工作記憶能力(Working Memory Capacity)分數的高低，來代表智能高低。 　　從研究結果發現，智能高與低兩類受測者的初始吸引分配，皆與其在第一期的選擇類似，而低智能的受測者在初始吸引部分，所估計的分配結果會與第一期之後期間的分配較不相似，這可能代表著低智能的受測者對於類似賽局實驗以及此實驗的分析或想像較差；在ψ的參數估計上，由於低智能的初始吸引與最後一期猜測的分配較不相似，以理論來說會遞減較快，也就是說會小於高智能所估計的結果，而真實的估計結果也顯示如此，此外，ψ的估計結果，也表示低智能受測者，對於之前吸引遞減較快，遺忘地較快。本文在δ的部分，高智能的受測者明顯地大於低智能的受測者，這表示高智能的受測者，對於失去的報酬比較敏感，會較關心沒有選擇到的數字所能得到的報酬，本文認為此結果可能隱含高智能受測者的認知階層較高。在受測者對於吸引敏感度λ的參數部分，本研究發現，此兩類受測者並無太大差異，也就是此兩類受測者對於吸引的變動，敏感度差距不大，也就代表影響人們對於吸引敏感度的原因，可能不是來自於智商高低。由本文的實證結果，可以發現學習行為與智能的相關性，因此本文建議在往後與學習行為有關的研究上，也許可以納入智能為主要研究探討的核心。 / The purpose of this paper is to explore possible relationships between individual differences in working memory capacity (WMC) and behavioral heterogeneity revealed in a repeated beauty contest experiment. We use ‘experience-weighted attraction’ (EWA) learning, to describe the decision-making and learning behavior of subjects in the beauty contest game (BCG) experiment. In the intelligence section, the level of the experiment from the working memory capacity score, to represent the intelligence high or low. We found high and low intelligent of the subject's initial attract allocated all its similar to the first period choice. In parameter estimation of ψ, due to the initial attraction of low intelligence subject is less similar to the choice of the following periods. According to theory,ψ of the low intelligence subjects will decrease faster, and the estimate of the results also show that. In addition, part of δ, high intelligence subjects was larger than the low intelligent subjects, which means that subjects of high intelligence, more sensitive to lost revenue. We think that may be implied the higher intelligent subjects are higher cognitive hierarchy. The sensitivity of players to attractions λ, we found that these two types of intelligent is not much difference. This means that the impact of the sensitivity of players to attractions, may not be from the intelligent level. By the empirical results, we can find the relationship between behavioral heterogeneity and intelligence, so we suggests that it may be incorporated into the intelligent as the main research.