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

AuthorsM. Anufriev, C. Hommes
TitleEvolutionary selection of individual expectations and aggregate outcomes
PublisherUniversiteit van Amsterdam
Title seriesCeNDEF Working Paper University of Amsterdam
Series number09-09
FacultyFaculty of Economics and Business
Institute/dept.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
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 monotonic 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 different 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 forecasting behavior as well as aggregate price behavior.
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