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Coordination of Expectations in Asset Pricing Experiments
Hommes, Cars; Sonnemans, Joep; Tuinstra, Jan; Velden, … - Tinbergen Instituut - 2003
We investigate expectation formation in a controlled experimental en-vironment. Subjects are asked to predict the price in a standard asset pricingmodel. They do not have knowledge of the underlying market equilibrium equa-tions, but they know all past realized prices and their own predictions....
Persistent link: https://www.econbiz.de/10011257391
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Complex Evolutionary Systems in Behavioral Finance
Hommes, Cars; Wagener, Florian - Tinbergen Instituut - 2008
This discussion paper led to a chapter in: (K.R. Schenk-Hoppe & T. Hens (Eds.,)) <I>Handbook of Financial Markets: Dynamics and Evolution</I>, Amsterdam:North Holland/Elsevier, 2009.<P> Traditional finance is built on the rationality paradigm. This chapter discusses simple models from an alternative...</p></i>
Persistent link: https://www.econbiz.de/10011257611
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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - Tinbergen Instituut - 2013
simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single … liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro …, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and …
Persistent link: https://www.econbiz.de/10011256871
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Behaviorally Rational Expectations and Almost Self-Fulfilling Equilibria
Hommes, Cars - Tinbergen Instituut - 2013
Rational expectations assumes perfect, model consistency between beliefs and market realizations. Here we discuss behaviorally rational expectations, characterized by an observable, parsimonious and intuitive form of consistency between beliefs and realizations. We discuss three case-studies....
Persistent link: https://www.econbiz.de/10011255795
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Reflexivity, Expectations Feedback and almost Self-fulfilling Equilibria: Economic Theory, Empirical Evidence and Laboratory Experiments
Hommes, Cars - Tinbergen Instituut - 2013
We discuss recent work on bounded rationality and learning in relation to Soros' principle of reflexivity and stress the empirical importance of non-rational, almost self-fulfilling equilibria in positive feedback systems. As an empirical example, we discuss a behavioral asset pricing model with...
Persistent link: https://www.econbiz.de/10011255872
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Learning in Cobweb Experiments
Hommes, C.H.; Sonnemans, J.H.; Tuinstra, J.; Velde, H. … - Tinbergen Instituut - 2003
measured by the variance is significantly larger than the amplitude under RE, implying persistent excess volatility. However …
Persistent link: https://www.econbiz.de/10011256156
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Learning, Forecasting and Optimizing: An Experimental Study
Bao, Te; Duffy, John; Hommes, Cars - Tinbergen Instituut - 2012
This discussion paper led to a publication in the 'European Economic Review' (2013). Vol. 61, pp. 186-204.<P> Rational Expectations (RE) models have two crucial dimensions: 1) agents correctly forecast future prices given all available information, and 2) given expectations, agents solve...</p>
Persistent link: https://www.econbiz.de/10011256912
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Individual Expectations and Aggregate Macro Behavior
Assenza, Tiziana; Heemeijer, Peter; Hommes, Cars; … - Tinbergen Instituut - 2013
The way in which individual expectations shape aggregate macroeconomic variables is crucial for the transmission and effectiveness of monetary policy. We study the individual expectations formation process and the interaction with monetary policy, within a standard New Keynesian model, by means...
Persistent link: https://www.econbiz.de/10011257145
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Individual Expectations, Limited Rationality and Aggregate Outcomes
Bao, Te; Hommes, Cars; Sonnemans, Joep; Tuinstra, Jan - Tinbergen Instituut - 2012
whether the market can learn the rational fundamental price. We present an experiment where the fundamental price experiences …
Persistent link: https://www.econbiz.de/10011257529
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Continuous Beliefs Dynamics
Diks, Cees; Weide, Roy van der - Tinbergen Instituut - 2003
We propose a general framework for studying the evolution ofheterogeneous beliefs in a dynamic feedback setting. Beliefsdistributions are defined on a continuous space representingthe possible strategies agents can choose from. Agents base theirchoices on past performances. As new information...
Persistent link: https://www.econbiz.de/10011249542