Initial Predictions in Learning-to-Forecast Experiment

Chapter
Part of the Lecture Notes in Economics and Mathematical Systems book series (LNE, volume 662)

Abstract

In this paper we estimate the distribution of the initial predictions of the Heemeijer et al. [5] Learning-to-Forecast experiment. By design, these initial predictions were uninformed. We show that in fact they have a non-continuous distribution and that they systematically under-evaluate the fundamental price. Our conclusions are based on Diks et al. [2] test which measures the proximity of two vector sets even if their underlying distributions are non-continuous.We show how this test can be used as a fitness for Genetic Algorithm optimization procedure. The resulting methodology allows for fitting non-continuous distribution into abundant empirical data and is designed for repeated experiments.

Keywords

Focal Point Repeated Experiment Time Path Observation Vector Monte Carlo Experiment 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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References

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    Anufriev M, Hommes C, Philipse R (2010) Evolutionary selection of expectations in positive and negative feedback marketsGoogle Scholar
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    Diks C, van Zwet WR, Takens F, DeGoede J (1996) Detecting differences between delay vector distributions. Phys Rev E 53:2169-2176, DOI  10.1103/PhysRevE.53.2169, URL http://link.aps.org/doi/10.1103/PhysRevE.53.2169
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    Heemeijer P, Hommes C, Sonnemans J, Tuinstra J (2009) Price stability and volatility in markets with positive and negative expectations feedback: An experimental investigation. Journal of Economic Dynamics and Control 33(5):1052 - 1072, DOI 10.1016/j.jedc.2008.09.009, URL http://www.sciencedirect.com/science/article/pii/S0165188909000293, complexity in Economics and FinanceGoogle Scholar
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Copyright information

© Springer-Verlag Berlin Heidelberg 2012

Authors and Affiliations

  1. 1.CeNDEF, University of AmsterdamAmsterdamNetherlands
  2. 2.Tinbergen InstituteCeNDEF, University of AmsterdamAmsterdamNetherlands

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