Evolutionary Switching between Forecasting Heuristics: An Explanation of an Asset-Pricing Experiment
Mikhail Anufriev and
Cars Hommes ()
Additional contact information
Cars Hommes: University of Amsterdam
Chapter 4 in Complexity and Artificial Markets, 2008, pp 41-53 from Springer
Abstract:
Abstract In this paper we propose an explanation of the findings of a recent laboratory market forecasting experiment. In the experiment the participants were asked to predict prices for 50 periods on the basis of past realizations. Three different aggregate outcomes were observed in an identical environment: slow monotonic price convergence, persistent price oscillations, and oscillatory dampened price fluctuations. Individual predictions exhibited a high degree of coordination, although the individual forecasts were not commonly known. To explain these findings we propose an evolutionary model of reinforcement learning over a set of simple forecasting heuristics. The key element of our model is the switching between heuristics on the basis of their past performance. Simulations show that such evolutionary learning can reproduce the qualitative patterns observed in the experiment.
Keywords: Pension Fund; Rational Expectation; Risky Asset; Price Dynamic; Past Performance (search for similar items in EconPapers)
Date: 2008
References: Add references at CitEc
Citations: View citations in EconPapers (1)
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:spr:lnechp:978-3-540-70556-7_4
Ordering information: This item can be ordered from
http://www.springer.com/9783540705567
DOI: 10.1007/978-3-540-70556-7_4
Access Statistics for this chapter
More chapters in Lecture Notes in Economics and Mathematical Systems from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().