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政大典藏 > College of Social Science > Department of Economics > Periodical Articles > Item 140.119/23274

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/23274

Title:	Risk Preference Forecasting Accuracy and Survival Dynamics: Simulations Based on a Multi-Asset Agent-Based Artificial Stock Market
Authors:	Chen,Shu-Heng;Huang,Ya-Chi
Keywords:	Market selection hypothesis;Agent-based artiﬁcial stock markets;Autonomous agents;Genetic algorithms
Date:	2008-09
Issue Date:	2009-01-09 12:17:08 (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:	Journal of Economic Behavior and Organization,67(3),702-717
Data Type:	article
DOI link:	http://dx.doi.org/http://dx.doi.org/10.1016/j.jebo.2006.11.006
DOI:	10.1016/j.jebo.2006.11.006
Appears in Collections:	[Department of Economics] Periodical Articles

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