I was 2 for 3 w/o volume. I agree that volume is cheating. I figured you can look for fat tails (jumps) and big up-down or down-up patterns that seem to suggest mean reversion but actually are quirky market-on-close prints that are quickly corrected an offer no arbitrage (it's easy to make money on close-to-close prices, too bad you can trade those!). 

... of course we record whether the trading volume is displayed or not ...

In order to construct the random walks, we proceed as follows:
- In the first step, we randmonly draw normal (continuous) stock returns. The mean and standard deviation of the artificial returns correspond to those of the real stock. When estimating the mean and standard deviation, we of course ignore days without trading volume.

- Next, we scale the returns of the random walk series such that the overall one-year return of the computer generated process is equal to the one-year return of the real stock. Standard deviations are not adjusted.

We didn't want to bootstrap returns as the vast majority of theoretical models in finance assume normally distributed returns. Hence, randomly drawing from the normal gives us more degrees of freedom in analyzing the data... 

Going back to my original question: Don't you think that many participants try to get ≥ 50% right? And that some participants stop playing when, say, guessing correctly 3 times out of 3. Are you aware of any literature on this issue (participants are free to choose the number of rounds)?

Btw, I looked at the trading volume most of the time (never throw away information) but its impact on my initial decision was negligible.

Nevertheless, congratulations for this nice site! 

I am struggling to remember on this one, but I seem to recall a few examples from sampling textbooks to do with families that keep "trying for a girl" and proofs that they don't affect the overall distribution of sexes in the population. I suspect that the behaviour you describe will also result in people who fail a lot having longer average trials (before they give up in disgust) and that under reasonable assumptions it will average out in the sample. You wouldn't want to use any particular person's record to evaluate their true ability (FWIW I promised myself that I would do fifty trials come what may, although I probably wouldn't have posted a comment here if I'd completely failed) but in the aggregates it should be OK given a large enough sampling size. 

Thanks for all your insights and submitted rounds. where pretty overwhelmed by all the attention it got in the last 36 hours.

We both, Daniel and me, don't know of any of this lit but will be very pleased to know more about it. nevertheless, you can be assured that we will address all these questions.

maybe, i'll add a blog or news section to the survey page (or reactivate my own blog for that matter) to keep up with preliminary results. we had reveived quite some positive feedback and interest for this study. especially from alex and tyler at marginal revolution.

thanks again.

tc, pascal