Události
Středa 20. května 2026 | 13:00 – 14:00 | Místnost 402 | Brown Bag semináře
Valentyn Panchenko: "Estimation of the Heuristic Switching Model for the Learning-to-Forecast Experiments" (2)
Let us invite you to a Brown Bag Seminar by Valentyn Panchenko (School of Economics, UNSW Business School, UNSW Sydney) on Wednesday, May 20, 13:00 at room 402.
Speaker: Valentyn Panchenko (School of Economics, UNSW Business School, UNSW Sydney)
Title: "Estimation of the Heuristic Switching Model for the Learning-to-Forecast Experiments "
Co-authors:
Mikhail Anufriev (University of Technology Sydney)
Cars Hommes (University of Amsterdam)
Abstract: We estimate the hidden Markov model of switching between several prediction heuristics on the data of the “learning-to-forecast” experiments. In these experiments participants predict an evolution of the endogenous time series of price of the financial asset. The price is a function of the average of the participants’ forecasts. The functional form varied under different treatments. In the experiment individuals may condition their forecasts on the price from the previous rounds, closing the feedback look. We take Bayesian approach to estimate the heuristic switching model. The key observed variable is the individual numerical point forecasts at each round.
