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Record: oai:ARNO:429155

AuthorT. Bao
TitleExperiments on heterogeneous expectations and switching behavior
PromotorC.H. Hommes
Date24-10-2012
Year2012
Pagesvi, 167
ISBN978 90 361 0319 0
FacultyFaculty of Economics and Business
Institute/dept.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
Keywordsheterogeneous expectations; expectation feedback systems; heuristic switching model; learning to forecast experiment; learning to optimize experiment; mutual fund selection
AbstractExpectation formation plays a central role in dynamic models in modern macroeconomics and finance. This thesis studies expectation formation in dynamic market experiments. One feature that differentiates this thesis from the current mainstream literature is that we apply the heterogeneous expectations framework instead of the traditional representative agent framework assuming rational expectations. We study interaction of individual forecasting behavior in different types of expectations feedback systems, compare the situation where expectations are directly translated into computed optimal economic decisions with the situation where agents solve the optimization problem themselves and finally, we study switching behavior and apply the switching model to mutual fund choice, where people make dynamic choices between different mutual funds.
LanguageEnglish
NoteTinbergen Institute research series no. 542
Document typeDissertation
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