Agent-based modeling to investigate the disposition effect in financial markets
Autor(a) principal: | |
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Data de Publicação: | 2007 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.5/10010 |
Resumo: | One of the behavioral patterns that deviate from what is predicted by traditional financial theories is the disposition effect. Although most empirical studies have reported a significant disposition effect, researchers have yet to conduct a conclusive test of thiseffect because a competing hypothesis or confounding effects might explain the documented significance. Thus, we use the tools of computational intelligence, instead of empirical approaches, to explore market behavior. In particular, we allow agents with different investment strategies to interact and to compete with each other in an artificial futures market. We found that the S-shaped value curve proposed by prospect theory may be one of the causes of the observed behavior of the disposition effect. However, rational expectation such as short-term mean reversion can even be more decisive. |
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Agent-based modeling to investigate the disposition effect in financial marketsagent-based modeldisposition effectbehavioral biasprospect theoryfutures marketOne of the behavioral patterns that deviate from what is predicted by traditional financial theories is the disposition effect. Although most empirical studies have reported a significant disposition effect, researchers have yet to conduct a conclusive test of thiseffect because a competing hypothesis or confounding effects might explain the documented significance. Thus, we use the tools of computational intelligence, instead of empirical approaches, to explore market behavior. In particular, we allow agents with different investment strategies to interact and to compete with each other in an artificial futures market. We found that the S-shaped value curve proposed by prospect theory may be one of the causes of the observed behavior of the disposition effect. However, rational expectation such as short-term mean reversion can even be more decisive.Instituto Superior de Economia e GestãoRepositório da Universidade de LisboaLin, Shi-WoeiHuang, Hui-Lung2015-11-03T11:14:31Z20072007-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/10010engLin, Shi-Woei e Hui-Lung Huang (2007). "Agent-based modeling to investigate the disposition effect in financial markets". Portuguese Journal of Management Studies, XII(2):145-164info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:40:23Zoai:www.repository.utl.pt:10400.5/10010Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T16:56:33.287381Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Agent-based modeling to investigate the disposition effect in financial markets |
title |
Agent-based modeling to investigate the disposition effect in financial markets |
spellingShingle |
Agent-based modeling to investigate the disposition effect in financial markets Lin, Shi-Woei agent-based model disposition effect behavioral bias prospect theory futures market |
title_short |
Agent-based modeling to investigate the disposition effect in financial markets |
title_full |
Agent-based modeling to investigate the disposition effect in financial markets |
title_fullStr |
Agent-based modeling to investigate the disposition effect in financial markets |
title_full_unstemmed |
Agent-based modeling to investigate the disposition effect in financial markets |
title_sort |
Agent-based modeling to investigate the disposition effect in financial markets |
author |
Lin, Shi-Woei |
author_facet |
Lin, Shi-Woei Huang, Hui-Lung |
author_role |
author |
author2 |
Huang, Hui-Lung |
author2_role |
author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Lin, Shi-Woei Huang, Hui-Lung |
dc.subject.por.fl_str_mv |
agent-based model disposition effect behavioral bias prospect theory futures market |
topic |
agent-based model disposition effect behavioral bias prospect theory futures market |
description |
One of the behavioral patterns that deviate from what is predicted by traditional financial theories is the disposition effect. Although most empirical studies have reported a significant disposition effect, researchers have yet to conduct a conclusive test of thiseffect because a competing hypothesis or confounding effects might explain the documented significance. Thus, we use the tools of computational intelligence, instead of empirical approaches, to explore market behavior. In particular, we allow agents with different investment strategies to interact and to compete with each other in an artificial futures market. We found that the S-shaped value curve proposed by prospect theory may be one of the causes of the observed behavior of the disposition effect. However, rational expectation such as short-term mean reversion can even be more decisive. |
publishDate |
2007 |
dc.date.none.fl_str_mv |
2007 2007-01-01T00:00:00Z 2015-11-03T11:14:31Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.5/10010 |
url |
http://hdl.handle.net/10400.5/10010 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Lin, Shi-Woei e Hui-Lung Huang (2007). "Agent-based modeling to investigate the disposition effect in financial markets". Portuguese Journal of Management Studies, XII(2):145-164 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Instituto Superior de Economia e Gestão |
publisher.none.fl_str_mv |
Instituto Superior de Economia e Gestão |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
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1799131047883964416 |