Coordination of Expectations in Asset Pricing Experiments

By Cars H. Hommes, Joep Sonnemans, Jan Tuinstra, H. V. D. Velden. 2005

479 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/dc30e9acb97d46a953a5db42ee801b7920488991

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Citations in the corpus

Macroeconomics: A Survey of Laboratory Research (2016, unknown): “Further, if agents have perfect foresight it is predicted that whatever the exchange rate turns out to be, it will be invariant over time, as in the overlapping generations model of Kareken and Wallace (1981). These two predictions are tested in an experiment by Arifovic (1996) that was designed for”
Expectations and Bubbles in Asset Pricing Experiments (2008, background): “In another closely related paper, Hommes et al. (2005) run experiments in an asset pricing environment similar to the one studied here, but with a structure that inhibits the possibility of price bubbles.”
Complex Evolutionary Systems in Behavioral Finance (2008, background): “In the remaining part of this section we mainly focus on the learning to forecast experiments in Hommes et al. (2005).”
Evolutionary Selection of Individual Expectations and Aggregate Outcomes in Asset Pricing Experiments (2012, unknown): “To answer these questions in this paper we reinvestigate individual learning behavior observed in the laboratory experiments of Hommes et al. (2005) and Hommes et al. (2008) (HSTV05 and HSTV08, henceforth), specifically designed to study expectations feedback.”
A simple model of a speculative housing market (2012, background): “Moreover, in many situations people seem to rely on rather simple heuristic principles when asked to forecast economic variables (Hommes et al. 2005, Heemeijer et al. 2009).”
Heterogeneous Expectations in Monetary DSGE Models (2013, unknown): “Before describing the full model with both perfectly rational and boundedly rational agents, we will characterize the dynamic feedback system in which macroeconomic variables and heterogeneous subjective expectations co-evolve over time along the lines of Brock, Hommes, and Wagener (2005) and Diks a”
Evolutionary dynamics in markets with many trader types (2005, background): “The simplest special case of (44) that still leads to interesting dynamics is obtained when all , $ , that is, when the forecasting function (43) is purely biased: 3 .”
Traders' Expectations in Asset Markets: Experimental Evidence (2007, background): “Several authors have studied expectations in asset markets (Smith et al., 1988; Marimon and Sunder, 1993; Sonnemans et al. 2004; Hommes et al. 2005; Bottazzi and Devetag, 2005; Hirota and Sunder, 2004; Koessler et al., 2005) using this approach.”
Heterogeneous Agent Models in Economics and Finance, In: Handbook of Computational Economics II: Agent-Based Computational Economics, edited by Leigh Tesfatsion and Ken Judd, Elsevier, Amsterdam 2006, pp.1109-1186 (2005, methodology): “Hommes et al. (2005) conduct laboratory experiments, where individuals are asked to forecast an asset price for 50 periods, with realized prices determined endogenously in the laboratory by the BrockHommes (1998) asset pricing model with feedback from individual forecasts.”
On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders (2010, background): “For recent surveys of this burgeoning field of research, see Chiarella et al. (2009); Hommes and Wagener (2009); Lux (2010) and Westerhoff (2009), among others.”