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Individual expectations and aggregate behavior in learning to forecast experiments

Authors
Publisher
Kiel Institute for the World Economy (IfW) Kiel
Publication Date
Keywords
  • C91
  • C92
  • D83
  • D84
  • E3
  • Ddc:330
  • Learning
  • Heterogeneous Expectations
  • Genetic Algorithms
  • Experimental Economics
  • Erwartungstheorie
  • Lernprozess
  • Test
  • Genetischer Algorithmus
  • Theorie
Disciplines
  • Computer Science
  • Mathematics

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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