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Learning to forecast, risk aversion, and microstructural aspects of financial stability
Biondo, Alessio Emanuele - 2018
introducing a behavioral individual risk aversion and a learning ability influencing the process of expectations formation …. Results show that individual learning may play a role in stabilizing the aggregate market dynamics, whereas the risk aversion …
Persistent link: https://www.econbiz.de/10011824135
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Partially unforeseen events : corrections and correcting formulae for forecasts
Charin, Aleksandr A. - In: Expert journal of economics 2 (2014) 2, pp. 69-79
A hypothesis of uncertain future was created and first applied in the field of utility and prospect theories. An extension of application of the hypothesis to the field of forecasting is considered in the article. The concept of inevitability of unforeseen events is a part of the hypothesis of...
Persistent link: https://www.econbiz.de/10012057407
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Estimating uncertainties using judgmental forecasts with expert heterogeneity
Bansal, Saurabh; Gutierrez, Genaro J. - In: Operations research 68 (2020) 2, pp. 363-380
Persistent link: https://www.econbiz.de/10012213337
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Distributed investment decisions and forecasting errors : an analysis based on a multi-agent simulation model
Leitner, Stephan; Rausch, Alexandra; Behrens, Doris - In: European journal of operational research : EJOR 258 (2017) 1, pp. 279-294
Persistent link: https://www.econbiz.de/10011642083
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A Bayesian belief network-based probabilistic mechanism to determine patient no-show risk categories
Simsek, Serhat; Dag, Ali; Tiahrt, Thomas; Oztekin, Asil - In: Omega : the international journal of management science 100 (2021), pp. 1-16
Persistent link: https://www.econbiz.de/10012494634
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Calibration of quantum decision theory, aversion to large losses and predictability of probabilistic choices
Vincent, Sabine; Jukalov, Vjačeslav I.; Kovalenko, Tatyana - 2016
We present the first calibration of quantum decision theory (QDT) to an empirical data set. The data comprise 91 …. The prediction of choice reversal is then refined by introducing heterogeneity between decision makers through a … differentiation of the population into two similar sized groups in terms of "over-confident" and "contrarian" decision makers. This …
Persistent link: https://www.econbiz.de/10011516615
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False and missed alarms in seasonal forecasts affect individual adaptation choices
Hembach-Stunden, Katharina; Vorlaufer, Tobias; Engel, … - In: Q open : a journal of agricultural, climate, … 4 (2024) 1, pp. 1-22
risk of extreme climate conditions. However, being confronted with inaccurate forecast systems may undermine individuals …
Persistent link: https://www.econbiz.de/10015053857
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A calibration procedure for analyzing stock price dynamics in an agent-based framework
Recchioni, Maria Cristina; Tedeschi, Gabriele; … - 2014
In this paper we introduce a calibration procedure for validating of agent based models. Starting from the well-known financial model of Brock and Hommes 1998, we show how an appropriate calibration enables the model to describe price time series. We formulate the calibration problem as a...
Persistent link: https://www.econbiz.de/10010463489
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Forecasting the Implications of Foreign Exchange Reserve Accumulation With an Agent-Based Model
Khabibullin, Ramis - 2019
We develop a stock-flow-consistent agent-based model that comprises a realistic mechanism of money creation and parametrize it to fit actually observed data. The model is used to make out-of-sample projections of broad money and credit developments under the commencement/termination of foreign...
Persistent link: https://www.econbiz.de/10012897491
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Rising to the Challenge : Bayesian Estimation and Forecasting Techniques for Macroeconomic Agent-Based Models
Delli Gatti, Domenico - 2019
We propose two novel methods to "bring ABMs to the data". First, we put forward a new Bayesian procedure to estimate the numerical values of ABM parameters that takes into account the time structure of simulated and observed time series. Second, we propose a method to forecast aggregate time...
Persistent link: https://www.econbiz.de/10012860573