Professor Cars Hommes

We are glad to announce forthcoming open research seminar of St Petersburg School of Economics and Management with support from European University in St Petersburg and Dutch Institute. A well-known specialist in experimental economics and expectations formation, professor Cars Hommes (University of Amsterdam) will present his paper «Expectations in the Laboratory. The seminar will take place on Oct 21, 2016, at 17:30, at Kantemirovskaya 3A, room 346.
If you would like to attend the seminar, please send your name and affiliation to: eavdonina@hse.ru.

Abstract
We present a survey of learning-to-forecast experiments (LtFEs) with human subjects to test theories of expectations and learning. Subjects must repeatedly forecast a market price, whose realization is an aggregation of individual expectations. Emphasis is given to how individual forecasting rules interact at the micro-level and which structure they co-create at the aggregate macro-level. It turns out that the type of expectations feedback is crucial for the (in)stability of experimental markets. Negative feedback systems, such as supply driven commodity markets, are rather stable and quickly settle down to the rational equilibrium. Positive feedback systems, such as speculative asset markets, are rather unstable and fluctuate wildly around the fundamental equilibrium with repeated bubbles and crashes. We also discuss a behavioural heuristics switching model, where agents switch between strategies based upon their relative performance, that matches individual as well as aggregate behaviour of the lab experiments quite nicely. 

 

Cars Hommes holds a Ph-D in Mathematical Economics in 1991 from the University of Groningen and is professor of Economic Dynamics at the University of Amsterdam. In 1998 he obtained a prestigious Pionier-grant from the Netherlands Organization of Scientific Research (NWO) to start the Center for Nonlinear Dynamics in Economics and Finance (CeNDEF), an interdisciplinary research group on complex systems applications in economics and finance. He held visiting positions at University of Wisconsin, Stanford University and New York University.

CH is particularly well known from his influential work with William Brock (University of Wisconsin, USA), developing a behavioral theory of heterogeneous expectations and its applications to economics and finance. The CeNDEF group has tested the heterogeneous expectations hypothesis empirical and in laboratory experiments and CH is one of the pioneers in Experimental Macroeconomics.

CH has published more than 100 articles in leading journals and book chapters, has been Editor of the Journal of Economic Dynamics and Control 2002-2012 and currently is member of five editorial boards of international journals. He has obtained several grants from the Dutch Science Foundation (NWO), the European Commission (EC) and is an Institute of New Economic Thinking (INET) grantee. He is the President Elect of the Society of Computational Economics (SCE), 2014-2016, the author of the recent book Behavioral Rationality and Heterogeneous Expectations in Complex Economic Systems, Cambridge University Press, 2013 and winner of the Distinguished Lorentz Fellowship 2014 in the Netherlands for his interdisciplinary research.