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Individual Expectations and Aggregate Behavior in Learning to Forcast Experiments

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  • Hommes, C.H.

    ()
    (University of Amsterdam)

  • Lux, T.

    (University of Kiel)

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

Paper provided by Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance in its series CeNDEF Working Papers with number 09-03.

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Date of creation: 2009
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Handle: RePEc:ams:ndfwpp:09-03

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Postal: Dept. of Economics and Econometrics, Universiteit van Amsterdam, Roetersstraat 11, NL - 1018 WB Amsterdam, The Netherlands
Phone: + 31 20 525 52 58
Fax: + 31 20 525 52 83
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Web page: http://www.fee.uva.nl/cendef/
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Cited by:
  1. 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.
  2. 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.

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