Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/23274


Title: Risk Preference Forecasting Accuracy and Survival Dynamics: Simulations Based on a Multi-Asset Agent-Based Artificial Stock Market
Authors: Chen,Shu-Heng;Huang,Ya-Chi
Keywords: Market selection hypothesis;Agent-based artificial stock markets;Autonomous agents;Genetic algorithms
Date: 2008-09
Issue Date: 2009-01-09 12:17:08 (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: Journal of Economic Behavior and Organization,67(3),702-717
Data Type: article
DOI 連結: http://dx.doi.org/http://dx.doi.org/10.1016/j.jebo.2006.11.006
Appears in Collections:[經濟學系] 期刊論文

Files in This Item:

File Description SizeFormat
A13.pdf269KbAdobe PDF625View/Open


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


社群 sharing