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Kiel Institute for World Economics Kiel Working Papers, Kiel Institute for World Economics

No 1466:
Individual Expectations and Aggregate Behavior in Learning to Forecast Experiments

Cars Hommes and Thomas Lux

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

Keywords: Learning, heterogeneous expectations, genetic algorithms, experimental economics; (follow links to similar papers)

JEL-Codes: C91,; C92,; D83,; D84,; E3; (follow links to similar papers)

40 pages, November 2008

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