EconPapers    
Economics at your fingertips  
 

Microfoundations for Switching Behavior in Heterogeneous Agent Models: An Experiment

Mikhail Anufriev (), Te Bao and Jan Tuinstra ()

No 31, Working Paper Series from Economics Discipline Group, UTS Business School, University of Technology, Sydney

Abstract: We run a laboratory experiment to study how people switch between several profitable alternatives, framed as mutual funds, in order to provide a microfoundation for so-called heterogeneous agent models. The participants in our experiment have to choose repeatedly between two, three or four experimental funds. The time series of fund returns are exogenously generated prior to the experiment and participants are paid for each period according to the return of the fund they choose. For most cases participants' decisions can be successfully described by a discrete choice switching model, often applied in heterogeneous agent models, provided that a predisposition towards one of the funds is included. The estimated intensity of choice parameter of the discrete choice model depends on the structure of the fund returns. In particular, it increases with correlation between past and future returns. This suggests people do not myopically chase past returns, but are more likely to do so when past returns are more predictive of future returns, a feature that is absent in the standard heterogeneous agent models.

Keywords: Heterogeneuos agent models; discrete choice; switching; experiments (search for similar items in EconPapers)
JEL-codes: C25 C91 D83 (search for similar items in EconPapers)
Pages: 54 pages
Date: 2015-09-16
New Economics Papers: this item is included in nep-cbe and nep-exp
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.uts.edu.au/sites/default/files/AnufrievBaoTuinstra.pdf (application/pdf)

Related works:
Journal Article: Microfoundations for switching behavior in heterogeneous agent models: An experiment (2016) Downloads
Working Paper: Microfoundations for Switching Behavior in Heterogeneous Agent Models: An Experiment (2015) Downloads
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:uts:ecowps:31

Access Statistics for this paper

More papers in Working Paper Series from Economics Discipline Group, UTS Business School, University of Technology, Sydney PO Box 123, Broadway, NSW 2007, Australia. Contact information at EDIRC.
Bibliographic data for series maintained by Duncan Ford ().

 
Page updated 2020-01-21
Handle: RePEc:uts:ecowps:31