Evolutionary Selection of Individual Expectations and Aggregate Outcomes in Asset Pricing Experiments
نویسنده
چکیده
In recent “learning to forecast” experiments (Hommes et al. 2005), three different patterns in aggregate price behavior have been observed: slow monotonic convergence, permanent oscillations, and dampened fluctuations. We show that a simple model of individual learning can explain these different aggregate outcomes within the same experimental setting. The key idea is evolutionary selection among heterogeneous expectation rules, driven by their relative performance. The out-of-sample predictive power of our switching model is higher compared to the rational or other homogeneous expectations benchmarks. Our results show that heterogeneity in expectations is crucial to describe individual forecasting and aggregate price behavior. (JEL C53, C91, D83, D84, G12)
منابع مشابه
Evolutionary Selection of Individual Expectations and Aggregate Outcomes∗
In recent ‘learning to forecast’ experiments with human subjects of Hommes, et al. (2005), three different patterns in aggregate price behavior have been observed: slow monotonic convergence, permanent price oscillations and dampened price fluctuations. These different aggregate outcomes are at odds with a representative agent who is fully rational or employs a single adaptive learning rule. We...
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