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Bubble Formation and (In)Efficient Markets in Learning-to-Forecast and -optimise Experiments

Bao, Te; Hommes, Cars; 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/10011403565

Learning, Forecasting and Optimizing: An Experimental Study

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

paper we consider both forecasting and optimization decisions in an experimental cobweb economy. We report results from four …) they do both and 4) they are paired in teams and one member is assigned the forecasting role while the other is assigned …

Persistent link: https://www.econbiz.de/10010326375

A Behavioral Model for Participation Games with Negative Feedback

Dindo, Pietro; Tuinstra, Jan - 2006

We study participation games with negative feedback, i.e. games where players choose either to participate in a certain project or not and where the payoff for participating decreases in the number of participating players. We use the replicator dynamics to model the competition between...

Persistent link: https://www.econbiz.de/10010325598

Who can predict their own Demise? Accuracy of Longevity Expectations by Education and Cognition

Bago d'Uva, Teresa; Erdogan Ciftci, Esen; O'Donnell, Owen; … - 2015

Biased longevity expectations will lead to suboptimal decisions regarding saving, retirement, annuitization and health, with consequences for wellbeing in old age. Systematic differences in the accuracy of longevity expectations may partly explain heterogeneity in economic behaviour by education...

Persistent link: https://www.econbiz.de/10011288406

Vanity in Politics: A Problem?

Suurmond, Guido; Swank, Otto H.; Visser, Bauke - 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/10010324778

A Dynamic Analysis of Moving Average Rules

Chiarella, Carl; He, Tony; Hommes, Cars H. - 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/10010325427

More Hedging Instruments may destablize Markets

Brock, William; Hommes, Cars; Wagener, Florian - 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/10010325451

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/10010325749

Interest Rate Rules and Macroeconomic Stability under Heterogeneous Expectations

Anufriev, Mikhail; Assenza, Tiziana; Hommes, Cars; … - 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/10010325843

Strong Consistency of the Least-Squares Estimator in Simple Regression Models with Stochastic Regressors

Christopeit, Norbert; Massmann, Michael - 2012

Strong consistency of least squares estimators of the slope parameter in simple linear regression models is established for predetermined stochastic regressors. The main result covers a class of models which falls outside the applicability of what is presently available in the literature. An...

Persistent link: https://www.econbiz.de/10010326230

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