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Value-at-Risk versus Non-Value-at-Risk Traders

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Author Info
Steinbacher, Matjaz

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Abstract

In the paper, I simulate the games with a joint presence of 95% VaR-rule and return-rule groups of agents in the game. Simulations highlighted the level of omniscience, next being the rule, which agents follow at the decision-making, and the third the presence of liquidity agents in the game. Omniscient agents make different decisions than non-omniscient agents with non-omniscient return-rule agents performed a little better than the omniscient return-rule agents did, and omniscient VaR-rule agents performed slightly better than non-omniscient VaR-rule agents did. VaR-rule agents clearly outperform return-rule agents, with omniscient return-rule agents performing the worst. The role of liquidity agents has proved to be very significant with none of the two observed performed worst in the neither case.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 14295.

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Date of creation: Mar 2009
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Handle: RePEc:pra:mprapa:14295

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Related research
Keywords: social networks; portfolio decision-making; stochastic finance; Value-at-Risk;

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Find related papers by JEL classification:
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Capital and Ownership Structure
Z13 - Other Special Topics - - Cultural Economics - - - Social Norms and Social Capital; Social Networks Economic Anthropology
C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. David Hirshleifer, 2001. "Investor Psychology and Asset Pricing," Journal of Finance, American Finance Association, vol. 56(4), pages 1533-1597, 08. [Downloadable!] (restricted)
    Other versions:
  2. Steinbacher, Matjaz, 2009. "The Role of Liquidity Individuals in the Decision-Making," MPRA Paper 13566, University Library of Munich, Germany. [Downloadable!]
  3. Kahneman, Daniel & Tversky, Amos, 1979. "Prospect Theory: An Analysis of Decision under Risk," Econometrica, Econometric Society, vol. 47(2), pages 263-91, March. [Downloadable!] (restricted)
  4. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April. [Downloadable!] (restricted)
  5. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July. [Downloadable!] (restricted)
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This page was last updated on 2009-11-30.

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