Exploring risks of financial markets through agent-based modeling

Hiroshi Takahashi, Takao Terano

研究成果: Conference contribution

4 被引用数 (Scopus)

抄録

To investigate the risks of financial markets is one of the critical issues in risk management. This paper proposes an Agent-Based Model to clarify microscopic and macroscopic links between investor behaviors and price fluctuations in a financial market. The analysis presented in the paper focuses on the role that investors' overconfidence plays in the financial market. From the simulation study of the agent-based virtual market, we have found that (1) overconfident investors emerge in a bottom-up fashion in the market, and (2) these overconfident investors have the ability to contribute to the market, in which the trading prices are coincide with theoretical fundamental values.

本文言語English
ホスト出版物のタイトル2006 SICE-ICASE International Joint Conference
ページ939-942
ページ数4
DOI
出版ステータスPublished - 2006 12 1
外部発表はい
イベント2006 SICE-ICASE International Joint Conference - Busan, Korea, Republic of
継続期間: 2006 10 182006 10 21

出版物シリーズ

名前2006 SICE-ICASE International Joint Conference

Other

Other2006 SICE-ICASE International Joint Conference
CountryKorea, Republic of
CityBusan
Period06/10/1806/10/21

ASJC Scopus subject areas

  • Computer Science Applications
  • Control and Systems Engineering
  • Electrical and Electronic Engineering

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