Expectation formation in dynamic market experiments
Author | : Peter Heemeijer |
Publisher | : Rozenberg Publishers |
Total Pages | : 308 |
Release | : 2009 |
Genre | : |
ISBN | : 9036101158 |
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Author | : Peter Heemeijer |
Publisher | : Rozenberg Publishers |
Total Pages | : 308 |
Release | : 2009 |
Genre | : |
ISBN | : 9036101158 |
Author | : |
Publisher | : |
Total Pages | : 167 |
Release | : 2012 |
Genre | : |
ISBN | : 9789036103190 |
"Expectation 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."--Samenvatting auteur.
Author | : |
Publisher | : |
Total Pages | : |
Release | : 2003 |
Genre | : |
ISBN | : |
Notwithstanding the recognized importance of traders & rsquo; expectations in characterizing the observed market dynamics, for instance the formation of speculative bubbles and crashes on financial markets, little attention has been devoted so far by economists to a rigorous study of expectation formation in the laboratory. In this work we describe a laboratory experiment on the emergence and coordination of expectations in a pure exchange framework. We largely base our study on previous experiments on expectation formation in a controlled laboratory environment by Cars Hommes, Joep Sonnemans, Ian Tuinstra and Henk van de Velden (2002a). We consider a simple two asset economy with a riskless bond and a risky stock. Each market is composed of six experimental subjects who act as financial advisors of myopic risk-averse utility maximizing investors and are rewarded according to how well their forecasts perform in the market. The participants are asked to predict not only the price of the risky asset at time t+1, as in Hommes et al. (2002a), but also the confidence interval of their prediction, knowing the past realizations of the price until time t ¡ 1. The realized asset price is derived from a Walrasian market equilibrium equation, unknown to the subjects, with feedback from individual forecasts. Subjects & rsquo; earnings are proportional to the increase in their wealth level. With respect to previous experiments that did not include an explicit evaluation of risk by participants, we observe a higher price volatility, a decreased likelihood of bubble dynamics and, in general, a higher heterogeneity of predictions. -- experimental economics ; expectations ; coordination ; asset pricing
Author | : Thorsten Hens |
Publisher | : Elsevier |
Total Pages | : 607 |
Release | : 2009-06-12 |
Genre | : Business & Economics |
ISBN | : 0080921434 |
The models of portfolio selection and asset price dynamics in this volume seek to explain the market dynamics of asset prices. Presenting a range of analytical, empirical, and numerical techniques as well as several different modeling approaches, the authors depict the state of debate on the market selection hypothesis. By explicitly assuming the heterogeneity of investors, they present models that are descriptive and normative as well, making the volume useful for both finance theorists and financial practitioners. - Explains the market dynamics of asset prices, offering insights about asset management approaches - Assumes a heterogeneity of investors that yields descriptive and normative models of portfolio selections and asset pricing dynamics
Author | : John Duffy |
Publisher | : Emerald Group Publishing |
Total Pages | : 320 |
Release | : 2014-11-14 |
Genre | : Business & Economics |
ISBN | : 1784411949 |
Volume 17 entitled 'Experiments in Macroeconomics', of the Research in Experimental Economics Book Series is the first-ever collection by leading researchers in the field of laboratory studies aimed at understanding macroeconomic phenomena.
Author | : Hendrik van de Velden |
Publisher | : |
Total Pages | : 220 |
Release | : 2001 |
Genre | : |
ISBN | : 9789051708363 |
Author | : Alexei Parakhonyak |
Publisher | : Rozenberg Publishers |
Total Pages | : 139 |
Release | : 2010 |
Genre | : |
ISBN | : 9036101786 |
Author | : Adam Sanoé Booij |
Publisher | : Rozenberg Publishers |
Total Pages | : 174 |
Release | : 2009 |
Genre | : |
ISBN | : 9036101190 |
Author | : Desislava Todorova Rusinova |
Publisher | : Rozenberg Publishers |
Total Pages | : 130 |
Release | : 2010 |
Genre | : |
ISBN | : 9036101859 |
Author | : Machiel Jan Reinders |
Publisher | : Rozenberg Publishers |
Total Pages | : 140 |
Release | : 2010 |
Genre | : |
ISBN | : 903610176X |