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  • 标题:Price Dynamics and Market Volatility: Behavioral Heterogeneity under Switching Trading Strategies on Artificial Financial Market
  • 本地全文:下载
  • 作者:Yosra Mefteh Rekik ; Younes Boujelbene
  • 期刊名称:International Journal of Financial Research
  • 印刷版ISSN:1923-4023
  • 电子版ISSN:1923-4031
  • 出版年度:2015
  • 卷号:6
  • 期号:2
  • 页码:p33
  • DOI:10.5430/ijfr.v6n2p33
  • 语种:English
  • 出版社:Sciedu Press
  • 摘要:In recent years, studying stock markets using multi-agent based models has grow into an important research area due to the fact that this line of attack replicates the nature of the financial market where varied traders with a mixture of expectations and diverse points of rationality network with each other through the market. The main aim of this paper is to include selected finding from behavioral finance into agent model hypothesis. In particular we revise the switching of the trading strategies such as the switching between, uninformed agents, informed agents, zero-intelligence and switchers traders. More precisely we focus on the relationship concerning switching and the excess volatility of the stock market prices and to addresses the question of why traders switch from one type to another.
  • 其他摘要:In recent years, studying stock markets using multi-agent based models has grow into an important research area due to the fact that this line of attack replicates the nature of the financial market where varied traders with a mixture of expectations and diverse points of rationality network with each other through the market. The main aim of this paper is to include selected finding from behavioral finance into agent model hypothesis. In particular we revise the switching of the trading strategies such as the switching between, uninformed agents, informed agents, zero-intelligence and switchers traders. More precisely we focus on the relationship concerning switching and the excess volatility of the stock market prices and to addresses the question of why traders switch from one type to another.
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