Advanced Search
MyIDEAS: Login to save this paper or follow this series

Discussing the Survivability Issue in Agent-Based Artificial Stock Market

Contents:

Author Info

  • Ya-Chi Huang
  • Shu-Heng Chen

Abstract

Blume and Easly [1992] show that if agents have the same savings rule, an expected discounted logarithmic utility maximizer with correct beliefs will dominate. If no agent adopts this rule, then agents with incorrect beliefs, but equally averse to risk as logarithmic utility maximizers, may eventually hold more wealth than the agent with correct beliefs. In other words, a trader with correct beliefs can be driven out of the market by traders with incorrect beliefs. However, Sandroni[2000] shows that, among agents who have the same intertemporal discount factor and who choose savings endogenously, the most prosperous will be those making accurate predictions. Agents with inaccurate predictions will be driven out of the market regardless of their preference. By using the extended agent-based artificial stock market, we simulate the evolution of portfolio behavior, and investigate the characteristics of the long-run surviving population of investors. Our agent-based simulation results are largely consistent with Blume and Easly [1992], and we conclude that preference is the key factor determining agents"survivability.

Download Info

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Bibliographic Info

Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2004 with number 300.

as in new window
Length:
Date of creation: 11 Aug 2004
Date of revision:
Handle: RePEc:sce:scecf4:300

Contact details of provider:
Email:
Web page: http://comp-econ.org/
More information through EDIRC

Related research

Keywords: Agent-based model; Artificial stock market; Genetic programming;

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:sce:scecf4:300. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.