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Interest Rate Rules and Macroeconomic Stability under Heterogeneous Expectations
Anufriev, Mikhail; Assenza, Tiziana; Hommes, Cars; … - Tinbergen Institute
and Hommes (1997). The stabilizing effect of different monetary policies depends on the ecology of forecasting rules, on … agents' sensitivity to differences in forecasting performance and on how aggressively the monetary authority sets the nominal …, expectations rule is part of the ecology of forecasting strategies. …
Persistent link: https://www.econbiz.de/10005016263
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More Hedging Instruments may destablize Markets
Brock, William; Hommes, Cars; Wagener, Florian - Tinbergen Institute - 2006
This paper formalizes the idea that more hedging instruments may destabilize markets when traders are heterogeneous and adapt their behavior according to experience based reinforcement learning. We investigate three different economic settings, a simple mean-variance asset pricing model, a...
Persistent link: https://www.econbiz.de/10005795568
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A Dynamic Analysis of Moving Average Rules
Chiarella, Carl; He, Tony; Hommes, Cars H. - Tinbergen Institute - 2005
The use of various moving average (MA) rules remains popular with financial market practitioners. These rules have recently become the focus of a number empirical studies, but there have been very few studies of financial market models where some agents employ technical trading rules of the type...
Persistent link: https://www.econbiz.de/10005136922
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Vanity in Politics: A Problem?
Suurmond, Guido; Swank, Otto H.; Visser, Bauke - Tinbergen Institute - 2002
Can vanity do any good? It may seem obvious to answer this question in the negative, as economists have shown how reputational concerns lead agents e.g. to ignore valuable information, to herd, and to become overly risk averse. We explore how proud agents may be a social blessing. An agent may...
Persistent link: https://www.econbiz.de/10005450753
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Consistent Estimation of Structural Parameters in Regression Models with Adaptive Learning
Christopeit, Norbert; Massmann, Michael - Tinbergen Institute - 2010
In this paper we consider regression models with forecast feedback. Agents' expectations are formed via the recursive …
Persistent link: https://www.econbiz.de/10008484069
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Interacting Agents in Finance
Hommes, Cars - Tinbergen Institute - 2006
Interacting agents in finance represent a behavioral, agent-based approach in which financial markets are viewed as complex adaptive systems consisting of many boundedly rational agents interacting through simple heterogeneous investment strategies, constantly adapting their behavior in response...
Persistent link: https://www.econbiz.de/10005209457
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Complex Evolutionary Systems in Behavioral Finance
Hommes, Cars; Wagener, Florian - Tinbergen Institute - 2008
investment decisions upon market forecasting heuristics. Prices and beliefs about future prices co-evolve over time with mutual …
Persistent link: https://www.econbiz.de/10005795577
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Heterogeneous Agent Models in Economics and Finance
Hommes, Cars H. - Tinbergen Institute - 2005
This paper surveys work on dynamic heterogeneous agent models (HAMs) in economics and finance. Emphasis is given to simple models that, at least to some extent, are tractable by analytic methods in combination with computational tools. Most of these models are behavioral models with boundedly...
Persistent link: https://www.econbiz.de/10005136868
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Heterogeneity as a Natural Source of Randomness
Diks, Cees; Weide, Roy van der - Tinbergen Institute - 2003
We propose a new framework for studying the evolution of heterogeneous beliefs in a dynamic feedback setting. Beliefs distributions are defined on a beliefs space representing a continuum of possible strategies agents can choose from. Agents base their choices on past performances, re-evaluating...
Persistent link: https://www.econbiz.de/10005136904
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Coordination of Expectations in Asset Pricing Experiments
Hommes, Cars; Sonnemans, Joep; Tuinstra, Jan; Velden, … - Tinbergen Institute - 2003
autoregressive forecasting rules. …
Persistent link: https://www.econbiz.de/10005137028