Simple Forecasting Heuristics that Make us Smart: Evidence from Different Market Experiments

Mikhail Anufriev, Cars Hommes and Tomasz Makarewicz

No 15-07, CeNDEF Working Papers from Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance

Abstract: We study a model in which individual agents use simple linear first order price forecasting rules, adapting them to the complex evolving market environment with a smart Genetic Algorithm optimization procedure. The novelties are: (1) a parsimonious experimental foundation of individual forecasting behaviour; (2) an explanation of individual and aggregate behavior in four different experimental settings, (3) improved one-period and 50-period ahead forecasting of lab experiments, and (4) a characterization of the mean, median and empirical distribution of forecasting heuristics. The median of the distribution of GA forecasting heuristics can be used in designing or validating simple Heuristic Switching Model.

Date: 2015
New Economics Papers: this item is included in nep-exp and nep-for
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Citations: View citations in EconPapers (6)

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Related works:
Journal Article: Simple Forecasting Heuristics that Make us Smart: Evidence from Different Market Experiments (2019)
Working Paper: Simple Forecasting Heuristics that Make us Smart: Evidence from Different Market Experiments (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:ams:ndfwpp:15-07

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