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Heterogeneous agent models in finance
Dieci, Roberto; He, Xue-zhong - 2018
Persistent link: https://www.econbiz.de/10013253829
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Chapter 5. Heterogeneous Agent Models in Finance
Dieci, Roberto; He, Xue-Zhong - In: Handbook of computational economics : Volume 4: …, (pp. 257-328). 2018
momentum trading. It demonstrates how HAMs can help to understand stock price co-movements and evolutionary CAPM. It also …
Persistent link: https://www.econbiz.de/10014024353
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Fundamentals unknown : momentum, mean-reversion and price-to-earnings trading in an artificial stock market
Schasfoort, Joeri; Stockermans, Christopher - 2017
The use of fundamentalist traders in the stock market models is problematic since fundamental values in the real world are unknown. Yet, in the literature to date, fundamentalists are often required to replicate key stylized facts. The authors present an agent-based model of the stock market in...
Persistent link: https://www.econbiz.de/10011723700
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The implication of trader cognitive abilities on stock market properties
Manahov, Viktor; Soufian, Mona; Hudson, Robert - In: Intelligent systems in accounting finance and … 21 (2014) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10010339793
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Prospect theory behavioral assumptions in an artificial financial economy
Raberto, Marco; Teglio, Andrea; Cincotti, Silvano - In: Complexity and artificial markets, (pp. 55-66). 2008
Persistent link: https://www.econbiz.de/10003763003
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Loss aversion and wealth allocation between risky and risk-free assets
Rengifo, Erick W. (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003485124
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Investors facing risk
Rengifo, Erick W. (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003487479
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Loss aversion and wealth allocation when utility is derived from consumption and narrowly framed financial investments
Rengifo, Erick W. (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003487490
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How investors face financial risk loss aversion and wealth allocation with two-dimensional individual utility : a VaR application
Rengifo, Erick W.; Trifan, Emanuela - In: The VaR implementation handbook, (pp. 485-512). 2009
Persistent link: https://www.econbiz.de/10003827118
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Arrow-Pratt risk aversion, risk premium and decision weights
Levy, Haim; Levy, Moshe - In: Journal of risk and uncertainty : JRU 25 (2002) 3, pp. 265-290
Persistent link: https://www.econbiz.de/10001742848