A strategy experiment in dynamic asset pricing

We find that most of the participants submit complicated strategies and that strategies become more complicated over the rounds. Most markets converge to a steady state price only after many periods, if at all. The number of converging price sequences increases over the rounds. These results suggest in general slow convergence and learning of the subjects over the rounds. Even in a stationary environment learning the correct fundamental price level turns out to be difficult. An important part of the non-convergence seems to be caused not by individual strategies but by the interaction of several strategies. From the final experiment we conclude that the strategies are a good representation of what participants do in a laboratory experiment.