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Risk preference, forecasting accuracy and survival dynamics: Simulations based on a multi-asset agent-based artificial stock market

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  • Chen, Shu-Heng
  • Huang, Ya-Chi

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  • Chen, Shu-Heng & Huang, Ya-Chi, 2008. "Risk preference, forecasting accuracy and survival dynamics: Simulations based on a multi-asset agent-based artificial stock market," Journal of Economic Behavior & Organization, Elsevier, vol. 67(3-4), pages 702-717, September.
    • Handle: RePEc:eee:jeborg:v:67:y:2008:i:3-4:p:702-717
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    8. Emanuela Sciubba, 2006. "The evolution of portfolio rules and the capital asset pricing model," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 29(1), pages 123-150, September.
    9. Hommes, Cars H., 2006. "Heterogeneous Agent Models in Economics and Finance," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 23, pages 1109-1186, Elsevier.
    10. Leigh Tesfatsion & Kenneth L. Judd (ed.), 2006. "Handbook of Computational Economics," Handbook of Computational Economics, Elsevier, edition 1, volume 2, number 2.
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    Cited by:

    1. Kluger, Brian D. & McBride, Mark E., 2011. "Intraday trading patterns in an intelligent autonomous agent-based stock market," Journal of Economic Behavior & Organization, Elsevier, vol. 79(3), pages 226-245, August.
    2. Ascensión Andina-Díaz & José A. García-Martínez & Antonio Parravano, 2019. "The market for scoops: a dynamic approach," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 10(2), pages 175-206, June.
    3. Olivier Brandouy & Philippe Mathieu & Iryna Veryzhenko, 2012. "Risk Aversion Impact on Investment Strategy Performance: A Multi Agent-Based Analysis," Post-Print hal-00826144, HAL.
    4. Hai-Chuan Xu & Wei Zhang & Xiong Xiong & Wei-Xing Zhou, 2014. "Wealth Share Analysis with “Fundamentalist/Chartist” Heterogeneous Agents," Abstract and Applied Analysis, Hindawi, vol. 2014, pages 1-11, May.
    5. Ya-Chi Huang, 2017. "Exploring issues of market inefficiency by the role of forecasting accuracy in survivability," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(2), pages 167-191, July.
    6. Rangan Gupta & Lardo Stander & Andrea Vaona, 2023. "Openness and growth: Is the relationship non‐linear?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 3071-3099, July.
    7. Chueh-Yung Tsao & Ya-Chi Huang, 2018. "Revisiting the issue of survivability and market efficiency with the Santa Fe Artificial Stock Market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(3), pages 537-560, October.
    8. Iryna Veryzhenko, 2021. "Who gains and who loses on stock markets? Risk preferences and timing matter," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 28(2), pages 143-155, April.
    9. Carl Chiarella & Roberto Dieci & Xue-Zhong He & Kai Li, 2013. "An evolutionary CAPM under heterogeneous beliefs," Annals of Finance, Springer, vol. 9(2), pages 185-215, May.
    10. Schmitt, Noemi & Westerhoff, Frank, 2014. "Speculative behavior and the dynamics of interacting stock markets," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 262-288.
    11. Yang, ChunXia & Hu, Sen & Xia, BingYing, 2012. "The endogenous dynamics of financial markets: Interaction and information dissemination," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(12), pages 3513-3525.
    12. Xue-Zhong He & Kai Li & Chuncheng Wang, 2018. "Time-varying economic dominance in financial markets: A bistable dynamics approach," Published Paper Series 2018-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    13. Ya-Chi Huang & Chueh-Yung Tsao, 2018. "Evolutionary Frequency and Forecasting Accuracy: Simulations Based on an Agent-Based Artificial Stock Market," Computational Economics, Springer;Society for Computational Economics, vol. 52(1), pages 79-104, June.
    14. Ke-Hung Lai & Shu-Heng Chen & Ya-Chi Huang, 2005. "Bounded Rationality and the Elasticity Puzzle: What Can We Learn from the Agent-Based Computational Consumption Capital Asset Pricing Model?," Computing in Economics and Finance 2005 207, Society for Computational Economics.
    15. Kai Li, 2014. "Asset Price Dynamics with Heterogeneous Beliefs and Time Delays," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 13, July-Dece.
    16. Kai Li, 2014. "Asset Price Dynamics with Heterogeneous Beliefs and Time Delays," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2014.
    17. Ibrahim Filiz & Jan René Judek & Marco Lorenz & Markus Spiwoks, 2021. "Sticky Stock Market Analysts," JRFM, MDPI, vol. 14(12), pages 1-27, December.

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