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    題名: Risk Preference Forecasting Accuracy and Survival Dynamics: Simulations Based on a Multi-Asset Agent-Based Artificial Stock Market
    作者: Chen,Shu-Heng;Huang,Ya-Chi
    關鍵詞: Market selection hypothesis;Agent-based artificial stock markets;Autonomous agents;Genetic algorithms
    日期: 2008-09
    上傳時間: 2009-01-09 12:17:08 (UTC+8)
    摘要: 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.
    關聯: Journal of Economic Behavior and Organization,67(3),702-717
    資料類型: article
    DOI 連結: http://dx.doi.org/http://dx.doi.org/10.1016/j.jebo.2006.11.006
    DOI: 10.1016/j.jebo.2006.11.006
    顯示於類別:[經濟學系] 期刊論文

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