How initial price history influences expectation formation in multi-asset experimental markets: An exploratory case study

Anufriev, M., Chernulich, A., & Tuinstra, J. (2022). Asset price volatility and investment horizons: An experimental investigation. Journal of Economic Behavior & Organization, 193, 19–48. Search in Google Scholar

Anufriev, M., & Hommes, C. (2012). Evolution of market heuristics. The Knowledge Engineering Review, 27(2), 255–271. Search in Google Scholar

Anufriev, M., Hommes, C., & Makarewicz, T. (2019). Simple forecasting heuristics that make us smart: Evidence from different market experiments. Journal of the European Economic Association, 17(5), 1538–1584. Search in Google Scholar

Arifovic, J., & Petersen, L. (2017). Stabilizing expectations at the zero lower bound: Experimental evidence. Journal of Economic Dynamics and Control, 82, 21–43. Search in Google Scholar

Assenza, T., Heemeijer, P., Hommes, C. H., & Massaro, D. (2013). Individual expectations and aggregate macro behavior. Tinbergen Institute Discussion Paper, 13-016/II. Search in Google Scholar

Bacchetta, P., Mertens, E., & van Wincoop, E. (2009). Predictability in financial markets: What do survey expectations tell us? Journal of International Money and Finance, 28(3), 406–426. Search in Google Scholar

Bao, T., Hennequin, M., Hommes, C., & Massaro, D. (2020). Coordination on bubbles in large-group asset pricing experiments. Journal of Economic Dynamics and Control, 110, 103702. Search in Google Scholar

Bao, T., Hommes, C., & Pei, J. (2021). Expectation formation in finance and macroeconomics: A review of new experimental evidence. Journal of Behavioral and Experimental Finance, 32, 100591. Search in Google Scholar

Bao, T., Hommes, C., Sonnemans, J., & Tuinstra, J. (2012). Individual expectations, limited rationality and aggregate outcomes. Journal of Economic Dynamics and Control, 36(8), 1101–1120. Search in Google Scholar

Barberis, N., Greenwood, R., Jin, L., & Shleifer, A. (2018). Extrapolation and bubbles. Journal of Financial Economics, 129, 203–227. Search in Google Scholar

Brock, W. A., & Hommes, C. H. (1997). A rational route to randomness. Econometrica, 65(5), 1059–1095. Search in Google Scholar

Brock, W. A., & Hommes, C. H. (1998). Heterogeneous beliefs and routes to chaos in a simple asset pricing model. Journal of Economic Dynamics and Control, 22(8–9), 1235–1274. Search in Google Scholar

Borsboom, C., & Zeisberger, S. (2020). What makes an investment risky? An analysis of price path characteristics. Journal of Economic Behavior & Organization, 169, 92–125. Search in Google Scholar

Case, K., Shiller, R., & Thompson, A. (2012). What have they been thinking? Home buyer behavior in hot and cold markets. Brookings Papers on Economic Activity, 43(2), 265–315. Search in Google Scholar

Chakravarty, S., Fonseca, M. A., & Kaplan, T. R. (2014). An experiment on the causes of bank run contagions. European Economic Review, 72, 39–51. Search in Google Scholar

Chan, K. S., Lei, V., & Vesely, F. (2013). Differentiated assets: An experimental study on bubbles. Economic Inquiry, 51(3), 1731–1749. Search in Google Scholar

Chevalier, J., & Ellison, G. (1997). Risk taking by mutual funds as a response to incentives. Journal of Political Economy, 105, 1167–1200. Search in Google Scholar

Colasante, A., Alfarano, S., & Camacho-Cuena, E. (2019). The term structure of cross-sectional dispersion of expectations in a Learning-to-Forecast Experiment. Journal of Economic Interaction and Coordination, 14(3), 491–520. Search in Google Scholar

Coibion, O., Gorodnichenko, Y., & Kamdar, R. (2018). The formation of expectations, inflation, and the Phillips curve. Journal of Economic Literature, 56(4), 1447–1491. Search in Google Scholar

Duffy, J., & Jenkins, B. C. (2019). A classroom experiment in monetary policy. The Journal of Economic Education, 50(2), 89–107. Search in Google Scholar

Duffy, J., Rabanal, J. P., & Rud, O. A. (2022). Market experiments with multiple assets: A survey. In S. Füllbrunn & E. Haruvy (Eds.), Handbook of experimental finance (pp. 213–224). Edward Elgar. Search in Google Scholar

Evans, G. W., & Honkapohja, S. (2001). Learning and expectations in macroeconomics. Princeton University Press. Search in Google Scholar

Fisher, E., & Kelly, F. S. (2000). Experimental foreign exchange markets. Pacific Economic Review, 5(3), 365–387. Search in Google Scholar

Greenwood, R., & Shleifer, A. (2014). Expectations of returns and expected returns. The Review of Financial Studies, 27(3), 714–746. Search in Google Scholar

Grosshans, D., & Zeisberger, S. (2018). All’s well that ends well? On the importance of how returns are achieved. Journal of Banking & Finance, 87, 397–410. Search in Google Scholar

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. Search in Google Scholar

Hennequin, M. (2021). Experiences and expectations in asset markets: An experimental study. University of Sussex Working Paper. Search in Google Scholar

Hommes, C. (2011). The heterogeneous expectations hypothesis: Some evidence from the lab. Journal of Economic Dynamics and Control, 35(1), 1–24. Search in Google Scholar

Hommes, C., Kopányi-Peuker, A., & Sonnemans, J. (2021). Bubbles, crashes and information contagion in large-group asset market experiments. Experimental Economics, 24(2), 414–433. Search in Google Scholar

Hommes, C., Massaro, D., & Salle, I. (2019). Monetary and fiscal policy design at the zero-lower bound: Evidence from the lab. Economic Inquiry, 57(2), 1120–1140. Search in Google Scholar

Hommes, C., Sonnemans, J., Tuinstra, J., & van de Velden, H. (2005). Coordination of expectations in asset pricing experiments. The Review of Financial Studies, 18(3), 955–980. Search in Google Scholar

Hommes, C., Sonnemans, J., Tuinstra, J., & Van de Velden, H. (2008). Expectations and bubbles in asset pricing experiments. Journal of Economic Behavior & Organization, 67(1), 116–133. Search in Google Scholar

König-Kersting, C., Trautmann, S. T., & Vlahu, R. (2022). Bank instability: Interbank linkages and the role of disclosure. Journal of Banking & Finance, 134, 106353. Search in Google Scholar

Kryvtsov, O., & Petersen, L. (2021). Central bank communication that works: Lessons from lab experiments. Journal of Monetary Economics, 117, 760–780. Search in Google Scholar

Lucas, R. E. (1972). Expectations and the neutrality of money. Journal of Economic Theory, 4(2), 103–124. Search in Google Scholar

Marimon, R., Spear, S. E., & Sunder, S. (1993). Expectationally driven market volatility: An experimental study. Journal of Economic Theory, 61(1), 74–103. Search in Google Scholar

Muth, J. F. (1961). Rational expectations and the theory of price movements. Econometrica, 29(3), 315–335. Search in Google Scholar

Nuzzo, S., & Morone, A. (2017). Asset markets in the lab: A literature review. Journal of Behavioral and Experimental Finance, 13, 42–50. Search in Google Scholar

Palan, S. (2013). A review of bubbles and crashes in experimental asset markets. Journal of Economic Surveys, 27(3), 570–588. Search in Google Scholar

Sargent, T. J. (1993). Bounded rationality in macroeconomics. Clarendon Press. Search in Google Scholar

Smith, V. L., Suchanek, G. L., & Williams, A. W. (1988). Bubbles, crashes, and endogenous expectations in experimental spot asset markets. Econometrica, 56(5), 1119–1151. Search in Google Scholar

Stöckl, T., Huber, J., & Kirchler, M. (2010). Bubble measures in experimental asset markets. Experimental Economics, 13(3), 284–298. Search in Google Scholar

Tversky, A., & Kahneman, D. (1974). Judgment under uncertainty: Heuristics and biases. Science, 185(4157), 1124–1131. Search in Google Scholar

Vissing-Jorgensen, A. (2003). Perspectives on behavioral finance: Does “irrationality” disappear with wealth? Evidence from expectations and actions. NBER Macroeconomics Annual, 18, 139–194. Search in Google Scholar