文章基本信息

标题：Price Dynamics and Market Volatility: Behavioral Heterogeneity under Switching Trading Strategies on Artificial Financial Market
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作者：Yosra Mefteh Rekik ; Younes Boujelbene
期刊名称：International Journal of Financial Research
印刷版ISSN：1923-4023
电子版ISSN：1923-4031
出版年度：2015
卷号：6
期号：2
页码：p33
DOI：10.5430/ijfr.v6n2p33
语种：English
出版社：Sciedu Press
摘要：In recent years, studying stock markets using multi-agent based models has grow into an important research area due to the fact that this line of attack replicates the nature of the financial market where varied traders with a mixture of expectations and diverse points of rationality network with each other through the market. The main aim of this paper is to include selected finding from behavioral finance into agent model hypothesis. In particular we revise the switching of the trading strategies such as the switching between, uninformed agents, informed agents, zero-intelligence and switchers traders. More precisely we focus on the relationship concerning switching and the excess volatility of the stock market prices and to addresses the question of why traders switch from one type to another.
其他摘要：In recent years, studying stock markets using multi-agent based models has grow into an important research area due to the fact that this line of attack replicates the nature of the financial market where varied traders with a mixture of expectations and diverse points of rationality network with each other through the market. The main aim of this paper is to include selected finding from behavioral finance into agent model hypothesis. In particular we revise the switching of the trading strategies such as the switching between, uninformed agents, informed agents, zero-intelligence and switchers traders. More precisely we focus on the relationship concerning switching and the excess volatility of the stock market prices and to addresses the question of why traders switch from one type to another.