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

共 50 条

[41] Analyzing micro-macro structures in a financial market via agent-based simulation
Terano, T
Takahashi, H
PROCEEDINGS OF THE 7TH JOINT CONFERENCE ON INFORMATION SCIENCES, 2003, : 1255 - 1258
[42] Stability of financial market driven by information delay and liquidity in delay agent-based model?
Zhou, Wei
Zhong, Guang-Yan
Li, Jiang-Cheng
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2022, 600
[43] AN AGENT-BASED SIMULATION MODEL FOR EVALUATING FINANCIAL TRANSMISSION RIGHTS IN THE COLOMBIAN ELECTRICITY MARKET
Zambrano, Cristian
Olaya, Yris
David Velasquez, Juan
PROCEEDINGS OF THE 2014 WINTER SIMULATION CONFERENCE (WSC), 2014, : 429 - 440
[44] A Simple Agent-based Financial Market Model: Direct Interactions and Comparisons of Trading Profits
Westerhoff, Frank
NONLINEAR DYNAMICS IN ECONOMICS, FINANCE AND THE SOCIAL SCIENCES: ESSAYS IN HONOUR OF JOHN BARKLEY ROSSER JR, 2010, : 313 - 332
[45] Nonlinear multi-analysis of agent-based financial market dynamics by epidemic system
Lu, Yunfan
Wang, Jun
Niu, Hongli
CHAOS, 2015, 25 (10)
[46] Volatility Analysis of Financial Agent-Based Market Dynamics from Stochastic Contact System
Xiao, Di
Wang, Jun
Niu, Hongli
COMPUTATIONAL ECONOMICS, 2016, 48 (04) : 607 - 625
[47] Dual labor market, financial fragility, and deflation in an agent-based model of the Japanese macroeconomy
Di Guilmi, Corrado
Fujiwara, Yoshi
JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION, 2022, 196 : 346 - 371
[48] Volatility Analysis of Financial Agent-Based Market Dynamics from Stochastic Contact System
Di Xiao
Jun Wang
Hongli Niu
Computational Economics, 2016, 48 : 607 - 625
[49] Effect of Increasing Horizontal Shareholding with Index Funds on Competition and Market Prices - Investigation by Agent-Based Model
Mizuta, Takanobu
2018 5TH INTERNATIONAL CONFERENCE ON BEHAVIORAL, ECONOMIC, AND SOCIO-CULTURAL COMPUTING (BESC), 2018, : 185 - 188
[50] Market power in power markets: Game theory vs. agent-based approach
Saguan, Marcelo
Keseric, Nenad
Dessante, Philippe
Glachant, Jean-Michel
2006 IEEE/PES TRANSMISSION & DISTRIBUTION CONFERENCE & EXPOSITION: LATIN AMERICA, VOLS 1-3, 2006, : 1081 - +

← 1 2 3 4 5 →