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Query: faculty: "FEB" and publication year: "2009"

AuthorsM. Anufriev, C. Hommes
TitleEvolutionary selection of individual expectations and aggregate outcomes
Year2009
Pages40
Title seriesCeNDEF Working Paper University of Amsterdam
Series number09-09
FacultyFaculty of Economics and Business
Institute/dept.FEB: Research Institute in Economics and Econometrics Amsterdam (RESAM)
AbstractIn recent 'learning to forecast' experiments with human subjects (Hommes, et al. 2005), three different patterns in aggregate asset price behavior have been observed: slow mono- tonic convergence, permanent oscillations and dampened fluctuations. We construct a simple model of individual learning, based on performance based evolutionary selection or reinforcement learning among heterogeneous expectations rules, explaining these dif- ferent aggregate outcomes. 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 forecast- ing behavior as well as aggregate price behavior.
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