Search Results - subject:"Bayesian Learning"

The stability of macroeconomic systems with Bayesian learners

Bullard, James B.; Suda, Jacek - In: Journal of economic dynamics & control 62 (2016), pp. 1-16

Persistent link: https://www.econbiz.de/10011708139

Strategic experimentation with Poisson bandits

Godfrey Keller; Sven Rady - Department of Economics, University of Oxford; … - 2010

[This item is a preserved copy. To view the original, visit http://econtheory.org/] We study a game of strategic experimentation with two-armed bandits where the risky arm distributes lump-sum payoffs according to a Poisson process. Its intensity is either high or low, and unknown to the...

Persistent link: https://www.econbiz.de/10009455291

Strategic Learning in Teams

Klein, Nicolas - 2010

This paper analyzes a two-player game of strategic experimentation with three-armed exponential bandits in continuous time. Players face replica bandits, with one arm that is safe in that it generates a known payoff, whereas the likelihood of the risky arms' yielding a positive payoff is...

Persistent link: https://www.econbiz.de/10010333785

Bayesian social learning with local interactions

Guarino, Antonio; Ianni, Antonella - In: Games 1 (2010) 4, pp. 438-458

We study social learning in a large population of agents who only observe the actions taken by their neighbours. Agents have to choose one, out of two, reversible actions, each optimal in one, out of two, unknown states of the world. Each agent chooses rationally, on the basis of private...

Persistent link: https://www.econbiz.de/10010369346

Strategic experimentation with Poisson bandits

Rady, Sven; Keller, Godfrey - In: Theoretical Economics 5 (2010) 2, pp. 275-311

We study a game of strategic experimentation with two-armed bandits where the risky arm distributes lump-sum payoffs according to a Poisson process. Its intensity is either high or low, and unknown to the players. We consider Markov perfect equilibria with beliefs as the state variable and show...

Persistent link: https://www.econbiz.de/10011599430

Nonparametric learning rules from bandit experiments: The eyes have it!

Hu, Yingyao; Kayaba, Yutaka; Shum, Matt - 2010

(non-Bayesian) reinforcement learning model, than a Bayesian learning model. …

Persistent link: https://www.econbiz.de/10010277527

Strategic Learning in Teams

Klein, Nicolas - Volkswirtschaftliche Fakultät, … - 2010

Persistent link: https://www.econbiz.de/10011140969

Evolutionary Sequential Trading

Ishii, Ryosuke - In: Economics Bulletin 30 (2010) 1, pp. 192-203

This paper analyzes an Easley and O'Hara (1992) type sequential trading model in an evolutionary setting. We assume that the memory of a market maker is limited, and that traders endogenously choose whether to acquire private information with a fixed cost. We show that the ratio of the informed...

Persistent link: https://www.econbiz.de/10008493460

Fluctuations of Real Interest Rates and Business Cycles

Zhang, Yongli - In: Annals of Economics and Finance 11 (2010) 1, pp. 185-208

This paper investigates whether the occurrences of business cycles have caused the fluctuations of real interest rates in the US. Based on a standard consumption-based asset pricing model, the model incorporates a new feature that investors have to learn about the unobservable alternations...

Persistent link: https://www.econbiz.de/10010554856

Bayesian Learning in UnstableSettings: Experimental Evidence Based on the Bandit Problem

NESTOUR, Élise PAYZAN LE - 2010

bandit. In the experiment, optimal Bayesian learning tracks the jumps through learning of the probability of a jump or direct … jump detection and, once a jump has occurred, re-learns the outcome probabilities. Such Bayesian learning is much more … partially myopic decision rule, Bayesian learning better matches the behavior observed in the lab. This result suggests that …

Persistent link: https://www.econbiz.de/10008922911