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Bridging GARCH Model and Prospect Theory in Financial Market Behaviors via Agent-Based Simulation

Author

Listed:
  • Hiroshi TAKAHASHI
  • Takao TERANO

Abstract

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Suggested Citation

  • Hiroshi TAKAHASHI & Takao TERANO, 2002. "Bridging GARCH Model and Prospect Theory in Financial Market Behaviors via Agent-Based Simulation," Computing in Economics and Finance 2002 296, Society for Computational Economics.
    • Handle: RePEc:sce:scecf2:296
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    Cited by:

    1. Hiroshi Takahashi & Takao Terano, 2003. "Agent-Based Approach to Investors? Behavior and Asset Price Fluctuation in Financial Markets," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 6(3), pages 1-3.

    More about this item

    Keywords

    Multiagent-based simulation for economic issues; Society dynamics; Se%lf-organizing systems and emergent organization; Financial Engineering;
    All these keywords.

    JEL classification:

    • H30 - Public Economics - - Fiscal Policies and Behavior of Economic Agents - - - General

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