Discussing the Survivability Issue in Agent-Based Artificial Stock Market
Blume and Easly  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 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 , and we conclude that preference is the key factor determining agents"survivability.
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.
|Date of creation:||11 Aug 2004|
|Date of revision:|
|Contact details of provider:|| Web page: http://comp-econ.org/|
More information through EDIRC
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 references are entirely missing, you can add them using this form.