Replication data for: Evolutionary Selection of Individual Expectations and Aggregate Outcomes in Asset Pricing Experiments

Name: Replication data for: Evolutionary Selection of Individual Expectations and Aggregate Outcomes in Asset Pricing Experiments
Published: Tue May 01 00:00:00 EDT 2012
License: This work is licensed under an Other license created by the data depositor. Please refer to the LICENSE file, which should be located alongside the project data and documentation.
Keywords: Experimental data

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matlab_AEJMicro-2011-0130			10/26/2021 09:00:AM
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Project Citation:

Anufriev, Mikhail, and Hommes, Cars. Replication data for: Evolutionary Selection of Individual Expectations and Aggregate Outcomes in Asset Pricing Experiments. Nashville, TN: American Economic Association [publisher], 2012. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E114401V1

Project Description

Summary: In recent "learning to forecast" experiments (Hommes et al. 2005), three different patterns in aggregate price behavior have been observed: slow monotonic convergence, permanent oscillations, and dampened fluctuations. We show that a simple model of individual learning can explain these different aggregate outcomes within the same experimental setting. The key idea is evolutionary selection among heterogeneous expectation rules, driven by their relative performance. The out-of-sample predictive power of our switching model is higher compared to the rational or other homogeneous expectations benchmarks. Our results show that heterogeneity in expectations is crucial to describe individual forecasting and aggregate price behavior. (JEL C53, C91, D83, D84, G12)

Scope of Project

Subject Terms: Experimental data

JEL Classification:
      C53 Forecasting Models; Simulation Methods
      C91 Design of Experiments: Laboratory, Individual
      D83 Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
      D84 Expectations; Speculations
      G12 Asset Pricing; Trading Volume; Bond Interest Rates

Data Type(s): program source code; experimental data

Collection Notes: Matlab code of the model; Matlab code fitting the model to the experimental data; Data from two previously published experiments.

Methodology

Data Source: Data of the experiments: HSTV05 (Hommes, C., Sonnemans, J., Tuinstra, J., Van de Velden, H., 2005. Coordination of expectations in asset pricing experiments. The Review of Ficial Studies 18, 955-980) and HSTV08 (Hommes, C., Sonnemans, J., Tuinstra, J., Van de Velden, H., 2008. Expectations and bubbles in asset pricing experiments. Journal of Economic Behavior & Organization 67, 116-133.)

Unit(s) of Observation: Individuals,

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V1 [2019-10-12]

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