An asset pricing model with loss aversion and its stylized facts
RT Pruna, M Polukarov… - 2016 IEEE Symposium …, 2016 - ieeexplore.ieee.org
2016 IEEE Symposium Series on Computational Intelligence (SSCI), 2016•ieeexplore.ieee.org
A well-defined agent-based model able to match the widely observed properties of financial
assets is valuable for testing the implications of various empirically observed heuristics
associated with investors behaviour. In this paper, we extend one of the most successful
models in capturing the observed behaviour of traders, and present a new behavioural asset
pricing model with heterogeneous agents. Specifically, we introduce a new behavioural bias
in the model, loss aversion, and show that it causes a major difference in the agents …
assets is valuable for testing the implications of various empirically observed heuristics
associated with investors behaviour. In this paper, we extend one of the most successful
models in capturing the observed behaviour of traders, and present a new behavioural asset
pricing model with heterogeneous agents. Specifically, we introduce a new behavioural bias
in the model, loss aversion, and show that it causes a major difference in the agents …
A well-defined agent-based model able to match the widely observed properties of financial assets is valuable for testing the implications of various empirically observed heuristics associated with investors behaviour. In this paper, we extend one of the most successful models in capturing the observed behaviour of traders, and present a new behavioural asset pricing model with heterogeneous agents. Specifically, we introduce a new behavioural bias in the model, loss aversion, and show that it causes a major difference in the agents interactions. As we demonstrate, the resulting dynamics achieve one of the major objectives of the field, replicating a rich set of the stylized facts of financial data. In particular, for the first time our model enables us to match the following empirically observed properties: conditional heavy tails of returns, gains/loss asymmetry, volume power-law and long memory and volume-volatility relations.
ieeexplore.ieee.org
Showing the best result for this search. See all results