Confidence and the stock market: an agent-based approach
| Autor: | Harry Eugene Stanley, Ling Feng, Mario Augusto Bertella, Felipe R. Pires |
|---|---|
| Přispěvatelé: | Universidade Estadual Paulista (Unesp), Boston University, Companhia Metropolitano Sao Paulo, Natl Univ Singapore |
| Rok vydání: | 2013 |
| Předmět: |
Economics
Economic Models lcsh:Medicine Biology Economic Geography Behavioral economics Social and Behavioral Sciences Statistical Mechanics Cost Models Econometrics Humans Psychology Computer Simulation Market sentiment Investments lcsh:Science Mathematical Computing Stock (geology) Negativism General Equilibrium Model Rate of return Behavioral Matrix Behavior Multidisciplinary Physics lcsh:R Financial market Statistics Commerce Mathematical Economics Models Economic Technical analysis Computer Science Interdisciplinary Physics lcsh:Q Stock market Volatility (finance) Mathematics Personality Research Article Computer Modeling |
| Zdroj: | PLoS ONE Web of Science Repositório Institucional da UNESP Universidade Estadual Paulista (UNESP) instacron:UNESP PLoS ONE, Vol 9, Iss 1, p e83488 (2014) |
| ISSN: | 1932-6203 |
| Popis: | Made available in DSpace on 2014-12-03T13:08:45Z (GMT). No. of bitstreams: 0 Previous issue date: 2014-01-08Bitstream added on 2014-12-03T13:23:27Z : No. of bitstreams: 1 WOS000329862500051.pdf: 519901 bytes, checksum: b95b0babb40136d32bb9df773d159a57 (MD5) Sao Paulo State University (UNESP) Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP) ONR DTRA NSF Using a behavioral finance approach we study the impact of behavioral bias. We construct an artificial market consisting of fundamentalists and chartists to model the decision-making process of various agents. The agents differ in their strategies for evaluating stock prices, and exhibit differing memory lengths and confidence levels. When we increase the heterogeneity of the strategies used by the agents, in particular the memory lengths, we observe excess volatility and kurtosis, in agreement with real market fluctuations-indicating that agents in real-world financial markets exhibit widely differing memory lengths. We incorporate the behavioral traits of adaptive confidence and observe a positive correlation between average confidence and return rate, indicating that market sentiment is an important driver in price fluctuations. The introduction of market confidence increases price volatility, reflecting the negative effect of irrationality in market behavior. Sao Paulo State Univ UNESP, Dept Econ, Sao Paulo, Brazil Boston Univ, Ctr Polymer Studies, Boston, MA 02215 USA Boston Univ, Dept Phys, Boston, MA 02215 USA Companhia Metropolitano Sao Paulo, Sao Paulo, Brazil Natl Univ Singapore, Dept Phys, Singapore 117548, Singapore Natl Univ Singapore, Ctr Computat Sci & Engn, Singapore 117548, Singapore Sao Paulo State Univ UNESP, Dept Econ, Sao Paulo, Brazil FAPESP: 12/17670-6 ONRN00014-12-1-0548 DTRAHDTRA-1-10-1-0014 DTRAHDTRA-1-09-1-0035 NSFCMMI 1125290 |
| Databáze: | OpenAIRE |
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