Working Paper

Individual Expectations and Aggregate Behavior in Learning to Forecast Experiments

Kiel Working Papers, 1466

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.

Authors

Cars Hommes
Thomas Lux

Info

Publication Date
JEL Classification
C91, C92, D83, D84, E3