  Prediction problems in finance go beyond estimating the unknown parameters of
a model (e.g. of expected returns). This is because such a model would have to
include parameters governing the market participants' propensity to change
their opinions on the validity of that model. This leads to a well--known
circular situation characteristic of financial markets, where participants
collectively create the future they wish to estimate. In this paper, we
introduce a framework for organizing multiple expectation models and study the
conditions under which they are adopted by a majority of market participants.
