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INDIVIDUAL EXPECTATIONS AND AGGREGATE BEHAVIOR IN LEARNING-TO-FORECAST EXPERIMENTS

  • Cars Hommes (a1) and Thomas Lux (a2)

Abstract

Models with heterogeneous interacting agents explain macro phenomena through interactions at the micro level. We propose genetic algorithms as a model for individual expectations to explain aggregate market phenomena. The model explains all stylized facts observed in aggregate price fluctuations and individual forecasting behaviour in recent learning-to-forecast laboratory experiments with human subjects (Hommes et al. 2007), simultaneously and across different treatments.

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Corresponding author

Address correspondence to: Cars Hommes CeNDEF, School of Economics, University of Amsterdam, Valckenierstraat 65-67, 1018 XE Amsterdam, the Netherlands; e-mail: C.H.Hommes@uva.nl.

References

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