Risk preference,forecasting accuracy and survival dynamics: Simulations based on a multi-asset agent-based artificial stock market |
| |
Institution: | 1. Department of Neurological Science, Nippon Medical School Graduate School of Medicine, Japan;2. Department of Stroke Medicine, Kawasaki Medical School, Japan |
| |
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. |
| |
Keywords: | |
本文献已被 ScienceDirect 等数据库收录! |
|