Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/23161


Title: Risk preference, forecasting accuracy and survival dynamics: Simulations based on a multi-asset agent-based artificial stock market
Authors: 陳樹衡
Chen, Shu-Heng;Huang, Ya-Chi
Contributors: 經濟系
Keywords: Market selection hypothesis;Agent-based artificial stock markets;Autonomous agents;Genetic algorithms
Date: 2008-09
Issue Date: 2009-01-09 11:36:46 (UTC+8)
Abstract: 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.
Relation: The 3rd NTU International Conference on Economics
Journal of Economic Behavior & Organization, Volume 67, Issues 3–4, Pages 702-717
Data Type: conference
Appears in Collections:[經濟學系] 期刊論文

Files in This Item:

File Description SizeFormat
1-s2.0-S0167268107001679-main.pdf816KbAdobe PDF542View/Open


All items in 學術集成 are protected by copyright, with all rights reserved.


社群 sharing