文章基本信息

标题：AGENT-BASED MODELING TO INVESTIGATE THE DISPOSITION EFFECT IN FINANCIAL MARKETS
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作者：Shi-Woei Lin ; Hui-Lung Huang
期刊名称：European Journal of Management Studies
出版年度：2007
卷号：12
期号：2
页码：145-163
语种：English
出版社：International Medical Journal Management and Indexing System
摘要：One of the behavioral patterns that deviate from what is predicted by traditional financial theories is the disposition effect. Although most empirical studies have reported a significant disposition effect, researchers haveyet to conduct a conclusive test of this.effect because a competing hypothesis or confounding effects might explain the documented significance. Thus, we use the tools of computational intelligence, instead of empirical approaches, to explore market behavior. In particular, we allow agents with different investment strategies to interact and to compete with each other in an artificial futures market. We found that the S-shaped value curve proposed by prospect theory may be one of the causes of the observed behavior of the disposition effect. However, rational expectation such as short-term mean reversion can even be more decisive.
关键词：agent-based model; disposition effect; behavioral bias; prospect theory; fUtures market