Former studies suggests that both the heterogeneity in the economic
agents’ expectation and the type of expectation feedback can have very
large impact on whether a market can find the fundamental price when it
is constant, or with one large shift on which the agents have common
knowledge. This experiment wants to study a case where the fundamental
price experiences two large persistent shocks on which the agents have
no prior knowledge. We find markets with negative feedback always make
perfect adjustment to changes in fundamentals (quick convergence to the
new fundamental), while markets with positive feedback induce high
coordination but the aggregate prices usually make over and
under-reaction. The individual prediction in the experiment can not to
be captured by rational expectation models or other homogeneous agent
models. An analysis based on Anufriev and Hommes (2009) can describes
individual predictions and the aggregate market price very well.