Artikel
Learning to forecast, risk aversion, and microstructural aspects of financial stability
This paper presents a simulative model of a financial market, based on a fully operating order book with limit and market orders. The heterogeneity of traders is characterized not only with regards to their trading rules, but also by introducing a behavioral individual risk aversion and a learning ability influencing the process of expectations formation. Results show that individual learning may play a role in stabilizing the aggregate market dynamics, whereas the risk aversion has, counterintuitively, the opposite effect.
- Sprache
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Englisch
- Erschienen in
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Journal: Economics: The Open-Access, Open-Assessment E-Journal ; ISSN: 1864-6042 ; Volume: 12 ; Year: 2018 ; Issue: 2018-20 ; Pages: 1-21 ; Kiel: Kiel Institute for the World Economy (IfW)
- Klassifikation
-
Wirtschaft
Financial Markets and the Macroeconomy
Money and Interest Rates: Forecasting and Simulation: Models and Applications
Computational Techniques; Simulation Modeling
- Thema
-
order book
learning to forecast
risk aversion
agent-based models
- Ereignis
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Geistige Schöpfung
- (wer)
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Biondo, Alessio Emanuele
- Ereignis
-
Veröffentlichung
- (wer)
-
Kiel Institute for the World Economy (IfW)
- (wo)
-
Kiel
- (wann)
-
2018
- DOI
-
doi:10.5018/economics-ejournal.ja.2018-20
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Biondo, Alessio Emanuele
- Kiel Institute for the World Economy (IfW)
Entstanden
- 2018
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