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https://ah.lib.nccu.edu.tw/handle/140.119/23161
題名: | Risk preference, forecasting accuracy and survival dynamics: Simulations based on a multi-asset agent-based artificial stock market | 作者: | 陳樹衡 Chen, Shu-Heng ; Huang, Ya-Chi |
貢獻者: | 經濟系 | 關鍵詞: | Market selection hypothesis; Agent-based artificial stock markets; Autonomous agents; Genetic algorithms | 日期: | Sep-2008 | 上傳時間: | 9-Jan-2009 | 摘要: | The relevance of risk preference and forecasting accuracy to the survival of investors is an issue that has recently attracted a number of theoretical studies. By using agent-based computational modeling, this paper extends the existing studies to an economy where adaptive behaviors are autonomous and complex heterogeneous. Specifically, a computational multi-asset artificial stock market corresponding to Blume and Easley [Blume, L., Easley, D., 1992. Evolution and market behavior. Journal of Economic Theory 58, 9–40] and Sandroni [Sandroni, A., 2000. Do markets favor agents able to make accurate predictions? Econometrica 68, 1303–1341] is constructed and studied. Through simulation, we present results that contradict the market selection hypothesis. | 關聯: | The 3rd NTU International Conference on Economics Journal of Economic Behavior & Organization, Volume 67, Issues 3–4, Pages 702-717 |
資料類型: | conference |
Appears in Collections: | 期刊論文 |
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1-s2.0-S0167268107001679-main.pdf | 816.81 kB | Adobe PDF2 | View/Open |
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