Behavioral Investors Versus Rational Investors: An Agent-based Computational Finance Model

2006 ◽  
Author(s):  
Zhang Wei ◽  
Zhang Yong-jie ◽  
Xiong Xiong ◽  
Jin Xi
Keyword(s):  
Computational Finance ◽  
Agent Based ◽  
Finance Model

BSV INVESTORS VERSUS RATIONAL INVESTORS: AN AGENT-BASED COMPUTATIONAL FINANCE MODEL

2006 ◽  
Vol 05 (03) ◽  
pp. 455-466 ◽  
Author(s):  
WEI ZHANG ◽  
YONGJIE ZHANG ◽  
XIONG XIONG ◽  
XI JIN
Keyword(s):  
Behavioral Finance ◽  
Dynamic Game ◽  
Mean Reversion ◽  
Computational Finance ◽  
Agent Based ◽  
Weak Evidence ◽  
Wide Range ◽  
Finance Model ◽  
Artificial Stock Market ◽  
Parameter Values

BSV (Barberis, Shleifer and Vishny [Journal of Financial Economics49 (1998) 307–343]) model is one of the three major behavioral finance models. The existing BSV model is about how behavioral investors form beliefs, and is able to produce both overreaction and mean-reversion for a wide range of parameter values. However, the assumption that all investors in the market must all be BSV investors is a little strict and remains controversial. In this paper, we present an agent-based computational model of the dynamic game between BSV investors and rational investors. Time series from the artificial stock market are analyzed and two interesting findings are reported. First, the introduction of rational investors will not eliminate the anomalies of overreaction and mean-reversion. Second, no evidence is found that the BSV investors will lose money to their counterparts although their cognitive bias makes them form a false kind of expectation. On the contrary, some weak evidence is reported that BSV investors are less likely to bankrupt.

Agent-based economic models and econometrics

2012 ◽  
Vol 27 (2) ◽  
pp. 187-219 ◽  
Author(s):  
Shu-Heng Chen ◽  
Chia-Ling Chang ◽  
Ye-Rong Du
Keyword(s):  
Financial Markets ◽  
Agent Based Modeling ◽  
Computational Finance ◽  
Agent Based ◽  
Second Stage ◽  
The Past ◽  
Stage Development ◽  
Three Stages ◽  
The One ◽  
Two Stages

AbstractThis paper reviews the development of agent-based (computational) economics (ACE) from an econometrics viewpoint. The review comprises three stages, characterizing the past, the present, and the future of this development. The first two stages can be interpreted as an attempt to build the econometric foundation of ACE, and, through that, enrich its empirical content. The second stage may then invoke a reverse reflection on the possible agent-based foundation of econometrics. While ACE modeling has been applied to different branches of economics, the one, and probably the only one, which is able to provide evidence of this three-stage development is finance or financial economics. We will, therefore, focus our review only on the literature of agent-based computational finance, or, more specifically, the agent-based modeling of financial markets.

scholarly journals Investor Sentiment and IPOs Anomalies: An Agent-Based Computational Finance

2017 ◽  
Vol 13 (12) ◽  
Author(s):  
Zhenwei Lv ◽  
Gaofeng Zou ◽  
Qiyuan Cheng ◽  
John Edmunds ◽  
Xiaopeng Zhai
Keyword(s):  
Investor Sentiment ◽  
Computational Finance ◽  
Agent Based

Loan Rate Pricing of SME Financing based on Agent-based Computational Finance Approach

2009 ◽  
Vol 29 (12) ◽  
pp. 9-14 ◽  
Author(s):  
Xiong XIONG ◽  
Cui GUO ◽  
Wei ZHANG ◽  
Yong-jie ZHANG
Keyword(s):  
Computational Finance ◽  
Agent Based ◽  
Loan Rate ◽  
Sme Financing

Application of Modeling and Simulation Based on Agent

2015 ◽  
Vol 740 ◽  
pp. 939-942
Author(s):  
Yan Hua Shao
Keyword(s):  
Modeling And Simulation ◽  
Adaptive System ◽  
Complex Adaptive System ◽  
Computational Finance ◽  
Competitive Behavior ◽  
Agent Based ◽  
Applied Model ◽  
Simulation Based ◽  
Complex Adaptive ◽  
Evolution Modeling

In order to solve the limitation of the research about enterprise evolution modeling and simulation, the idea of applying complex adaptive system theory and agent-based computational finance method to the enterprise research was proposed. Secondly, an applied model of Agent-based enterprise evolution was built. Finally, the simulation program of enterprise evolution based on swarm was built, which simulate the dynamic competitive behavior and evolvement of enterprise, the result of the simulation was analyzed.

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