Itchy feet vs cool heads: Flow of funds in an agent-based financial market

被引：7

作者：

Palczewski, Jan ^{[1
]}

Schenk-Hoppe, Klaus Reiner ^{[2
,3
]}

Wang, Tongya ^{[4
,5
]}

机构：

[1] Univ Leeds, Sch Math, Leeds LS2 9JT, W Yorkshire, England

[2] Univ Manchester, Sch Social Sci, Econ, Manchester M13 9PL, Lancs, England

[3] NHH Norwegian Sch Econ, Dept Finance, Trondheim, Norway

[4] Univ Oxford, Said Business Sch, Oxford OX1 2JD, England

[5] Univ Leeds, Ctr Adv Studies Finance, Leeds LS2 9JT, W Yorkshire, England

来源：

JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 2016年 / 63卷

关键词：

Portfolio management; Agent-based financial market; Evolutionary finance; Flow of funds; STOCK-MARKET; HETEROGENEITY; EVOLUTION; BEHAVIOR; DYNAMICS; BELIEFS; MODEL;

D O I：

10.1016/j.jedc.2015.12.002

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Investors tend to move funds when they are unhappy with their current portfolio managers' performance. We study the effect of the size of this flow of funds in an agent-based model of the financial market. The model combines the discrete choice approach from agent-based modelling, where all capital is mobile, with the evolutionary finance framework where all growth is endogenous. Our results show that, if investors exhibit recency bias in evaluating portfolio managers' performance, even a small amount of freely flowing capital has a huge impact on the market dynamics and the survival of noise traders. We also find that investors' intensity of choice is a driving force for excess volatility and extreme price movements when the size of the flow of funds is large. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：53 / 68

页数：16

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