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Equilibrium selection under different learning modes in supermodular games

Kaarbøe, Oddvar M.; Tieman, Alexander F. - 1999

We apply the dynamic stochastic framework proposed by recent evolutionaryliterature to the class of strict supermodular games when two simplebehavior rules coexist in the population, imitation and myopic optimization.We assume that myopic optimizers are able to see how well their payoff...

Persistent link: https://www.econbiz.de/10011302143

Bubble formation and (in)efficient markets in learning-to-forecast and -optimise experiments

Te, Bao; Hommes, Cars H.; Makarewicz, Tomasz - 2015

This experiment compares the price dynamics and bubble formation in an asset market with a price adjustment rule in three treatments where subjects (1) submit a price forecast only, (2) choose quantity to buy/sell and (3) perform both tasks. We find deviation of the market price from the...

Persistent link: https://www.econbiz.de/10011333057

Interest rate rules and macroeconomic stability under heterogeneous expectations

Anufriev, Mikhail; Assenza, Tiziana; Hommes, Cars H.; … - 2009

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/10011378358

Bubbles, crashes and information contagion in large-group asset market experiments

Hommes, Cars H.; Kopányi-Peuker, Anita; Sonnemans, Joep - 2019

We experimentally investigate how price expectations are formed in a large asset market where subjects' only task is to forecast the future price of a risky asset. The realized prices depend on these expectations. We observe small (6 participants) and large markets (about 100 participants). In...

Persistent link: https://www.econbiz.de/10011979625

From self-fulfilling mistakes to behavioral learning equilibria

Hommes, Cars H. - 2017

This essay links some of my own work on expectations, learning and bounded rationality to the inspiring ideas of Jean-Michel Grandmont. In particular, my work on consistent expectations and behavioral learning equilibria may be seen as formalizations of JMG's ideas of self-fulfilling mistakes....

Persistent link: https://www.econbiz.de/10011590425

Measuring biases in expectation formation

Peters, Florian; Kucinskas, Simas - 2018

We develop a general framework for measuring biases in expectation formation. The method is based on the insight that biases can be inferred from the response of forecast errors to past news. Empirically, biases are measured by flexibly estimating the impulse response function of forecast...

Persistent link: https://www.econbiz.de/10011869992

Consistent estimation of structural parameters in regression models with adaptive learning

Christopeit, Norbert; Massmann, Michael - 2010

In this paper we consider regression models with forecast feedback. Agents' expectations are formed via the recursive estimation of the parameters in an auxiliary model. The learning scheme employed by the agents belongs to the class of stochastic approximation algorithms whose gain sequence is...

Persistent link: https://www.econbiz.de/10011381034

Individual expectations, limited rationality and aggregate outcomes

Te, Bao; Hommes, Cars H.; Sonnemans, Joep; Tuinstra, Jan - 2012

Persistent link: https://www.econbiz.de/10010191020

Learning, forecasting and optimizing : an experimental study

Te, Bao; Duffy, John; Hommes, Cars H. - 2012

Persistent link: https://www.econbiz.de/10010191021

Behavioral learning equilibria

Hommes, Cars H.; Zhu, Mei - 2013

Persistent link: https://www.econbiz.de/10010191433

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