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An artificial market based on agents with fluid attitude toward risks and returns

Author

Listed:
  • Takuya Iwamura

    (Graduate School of Media and Governance, Keio University, 5322 Endo, Fujisawa-shi, Kanagawa 252-8520, Japan)

  • Yoshiyasu Takefuji

    (Graduate School of Media and Governance, Keio University, 5322 Endo, Fujisawa-shi, Kanagawa 252-8520, Japan)

Abstract

The behaviour of traders in a stock market is influenced by their attitude toward the risk of the security. In this research the internal model of the risk-averse and the risk-loving trader is proposed in the context of the artificial market. This model is based on the ideas of the expected utility hypothesis. It is important to model the difference in subjective value of the same stock because this difference enables market activities. The feature of the proposed model is that this model realizes the dynamic aspect of trader's preference in the risk and the return.

Suggested Citation

  • Takuya Iwamura & Yoshiyasu Takefuji, 2000. "An artificial market based on agents with fluid attitude toward risks and returns," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 3(01n04), pages 385-397.
    • Handle: RePEc:wsi:acsxxx:v:03:y:2000:i:01n04:n:s0219525900000273
    DOI: 10.1142/S0219525900000273
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