Prospect Theory in the Heterogeneous Agent Model
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- Jan Polach & Jiri Kukacka, 2019. "Prospect Theory in the Heterogeneous Agent Model," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(1), pages 147-174, March.
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- Kukacka, Jiri & Kristoufek, Ladislav, 2020. "Do ‘complex’ financial models really lead to complex dynamics? Agent-based models and multifractality," Journal of Economic Dynamics and Control, Elsevier, vol. 113(C).
- Cafferata, Alessia & Tramontana, Fabio, 2022. "Disposition Effect and its outcome on endogenous price fluctuations," MPRA Paper 113904, University Library of Munich, Germany.
- Mitja Steinbacher & Matthias Raddant & Fariba Karimi & Eva Camacho Cuena & Simone Alfarano & Giulia Iori & Thomas Lux, 2021.
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- Steinbacher, Mitja & Raddant, Matthias & Karimi, Fariba & Camacho-Cuena, Eva & Alfarano, Simone & Iori, Giulia & Lux, Thomas, 2021. "Advances in the Agent-Based Modeling of Economic and Social Behavior," MPRA Paper 107317, University Library of Munich, Germany.
- Brianzoni, Serena & Campisi, Giovanni, 2020. "Dynamical analysis of a financial market with fundamentalists, chartists, and imitators," Chaos, Solitons & Fractals, Elsevier, vol. 130(C).
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More about this item
Keywords
Heterogeneous Agent Model; Prospect Theory; Behavioral Finance; Stylized facts;All these keywords.
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-HME-2016-07-23 (Heterodox Microeconomics)
- NEP-ORE-2016-07-23 (Operations Research)
- NEP-UPT-2016-07-23 (Utility Models and Prospect Theory)
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