INDIVIDUAL EXPECTATIONS AND AGGREGATE BEHAVIOR IN LEARNING-TO-FORECAST EXPERIMENTS

Cars Hommes and Thomas Lux

Macroeconomic Dynamics, 2013, vol. 17, issue 2, 373-401

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.

Date: 2013
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Related works:
Working Paper: Individual Expectations and Aggregate Behavior in Learning to Forcast Experiments (2009)
Working Paper: Individual expectations and aggregate behavior in learning to forecast experiments (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:cup:macdyn:v:17:y:2013:i:02:p:373-401_00

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