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題名: | Risk Preference Forecasting Accuracy and Survival Dynamics: Simulations Based on a Multi-Asset Agent-Based Artificial Stock Market | 作者: | Chen,Shu-Heng;Huang,Ya-Chi | 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: | Journal of Economic Behavior and Organization,67(3),702-717 | 資料類型: | article | DOI: | http://dx.doi.org/http://dx.doi.org/10.1016/j.jebo.2006.11.006 |
Appears in Collections: | 期刊論文 |
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