Analyzing the influence of overconfident investors on financial markets through agent-based model

被引：0

作者：

Takahashi, Hiroshi ^{[1
]}

Terano, Takao ^{[1
]}

机构：

[1] Okayama Univ, Grad Sch Humanities & Social Sci, Okayama 7008530, Japan

来源：

INTELLIGENT DATA ENGINEERING AND AUTOMATED LEARNING - IDEAL 2007 | 2007年 / 4881卷

关键词：

agent based-model; asset pricing; behavioral economics; overconfidence;

D O I：

暂无

中图分类号：

TP3 [计算技术、计算机技术];

学科分类号：

0812 ;

摘要：

In this research, we employ Agent-Based Model to analyze how asset prices are affected by investors' Behavior. This analysis places focus on the influence of overconfident investors on financial market. As a result of intensive analysis, we find that overconfident investors are generated in a bottom-up fashion in the market. Furthermore, it has also been found that overconfident investors have the ability to contribute to market efficiency.

引用

页码：1042 / 1052

页数：11

共 50 条

[1] Overconfident Investors in the LLS Agent-Based Artificial Financial Market
Lovric, Milan
Kaymak, Uzay
Spronk, Jaap
[J]. 2009 IEEE SYMPOSIUM ON COMPUTATIONAL INTELLIGENCE FOR FINANCIAL ENGINEERING, 2009, : 58 - +
[2] Analyzing the influence of Value at Risk on financial markets through agent-based modeling
Takahashi, Hiroshi
[J]. INTERNATIONAL JOURNAL OF KNOWLEDGE-BASED AND INTELLIGENT ENGINEERING SYSTEMS, 2013, 17 (04) : 257 - 266
[3] Analyzing the Influence of Indexing Strategies on Investors' Behavior and Asset Pricing Through Agent-Based Modeling: Smart Beta and Financial Markets
Takahashi, Hiroshi
[J]. AGENT AND MULTI-AGENT SYSTEMS: TECHNOLOGY AND APPLICATIONS, KES-AMSTA 2016, 2016, 58 : 331 - 340
[4] Analyzing the role of noise trader in financial markets through agent-based modelling
Takahashi, Hiroshi
[J]. 2014 38TH ANNUAL IEEE INTERNATIONAL COMPUTER SOFTWARE AND APPLICATIONS CONFERENCE WORKSHOPS (COMPSACW 2014), 2014, : 444 - 449
[5] Analyzing the Validity of Smart Beta in Financial Markets through Agent-Based Modeling
Takahashi, Hiroshi
[J]. IEEE 39TH ANNUAL COMPUTER SOFTWARE AND APPLICATIONS CONFERENCE WORKSHOPS (COMPSAC 2015), VOL 3, 2015, : 361 - 366
[6] An agent-based model of stock markets incorporating momentum investors
Wei, J. R.
Huang, J. P.
Hui, P. M.
[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2013, 392 (12) : 2728 - 2735
[7] AN ANALYSIS OF THE INFLUENCE OF DISPERSION OF VALUATIONS ON FINANCIAL MARKETS THROUGH AGENT-BASED MODELING
Takahashi, Hiroshi
[J]. INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING, 2012, 11 (01) : 143 - 166
[8] Agent-based approach to investors' behavior and asset price fluctuation in financial markets
Takahashi, H
Terano, T
[J]. JASSS-THE JOURNAL OF ARTIFICIAL SOCIETIES AND SOCIAL SIMULATION, 2003, 6 (03):
[9] Consentaneous Agent-Based and Stochastic Model of the Financial Markets
Gontis, Vygintas
Kononovicius, Aleksejus
[J]. PLOS ONE, 2014, 9 (07):
[10] Effects of modularity in financial markets on an agent-based model
Hongseok Kim
Seunghwan Kim
Gabjin Oh
[J]. Journal of the Korean Physical Society, 2012, 60 : 599 - 603

← 1 2 3 4 5 →