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政大機構典藏 > 社會科學學院 > 經濟學系 > 期刊論文 > Item 140.119/23161

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/23161

Title:	Risk preference, forecasting accuracy and survival dynamics: Simulations based on a multi-asset agent-based artificial stock market
Authors:	陳樹衡 Chen, Shu-Heng;Huang, Ya-Chi
Contributors:	經濟系
Keywords:	Market selection hypothesis;Agent-based artificial stock markets;Autonomous agents;Genetic algorithms
Date:	2008-09
Issue Date:	2009-01-09 11:36:46 (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:	The 3rd NTU International Conference on Economics Journal of Economic Behavior & Organization, Volume 67, Issues 3–4, Pages 702-717
Data Type:	conference
Appears in Collections:	[經濟學系] 期刊論文

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