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Individual Expectations And Aggregate Behavior In Learning-To-Forecast Experiments

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  • Hommes, Cars
  • Lux, Thomas

Abstract

Models with heterogeneous interacting agents explain macro phenomena through interactions at the micro level. We propose genetic algorithms as a model for individual expectations to explain aggregate market phenomena. The model explains all stylized facts observed in aggregate price fluctuations and individual forecasting behaviour in recent learning to forecast laboratory experiments with human subjects (Hommes et al. 2007), simultaneously and across different treatments

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Bibliographic Info

Article provided by Cambridge University Press in its journal Macroeconomic Dynamics.

Volume (Year): 17 (2013)
Issue (Month): 02 (March)
Pages: 373-401

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Handle: RePEc:cup:macdyn:v:17:y:2013:i:02:p:373-401_00

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  1. Heemeijer, Peter & Hommes, Cars & Sonnemans, Joep & Tuinstra, Jan, 2009. "Price stability and volatility in markets with positive and negative expectations feedback: An experimental investigation," Journal of Economic Dynamics and Control, Elsevier, vol. 33(5), pages 1052-1072, May.
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Cited by:
  1. Leonidas Sandoval Junior & Italo De Paula Franca, 2011. "Shocks in financial markets, price expectation, and damped harmonic oscillators," Papers 1103.1992, arXiv.org, revised Sep 2011.
  2. Jasmina Arifovic & Alexander Karaivanov, 2007. "Learning by Doing vs. Learning from Others in a Principal-Agent Model," Discussion Papers dp07-24, Department of Economics, Simon Fraser University.

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