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.
- Language
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Englisch
- Bibliographic citation
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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)
- Classification
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Wirtschaft
Financial Markets and the Macroeconomy
Money and Interest Rates: Forecasting and Simulation: Models and Applications
Computational Techniques; Simulation Modeling
- Subject
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order book
learning to forecast
risk aversion
agent-based models
- Event
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Geistige Schöpfung
- (who)
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Biondo, Alessio Emanuele
- Event
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Veröffentlichung
- (who)
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Kiel Institute for the World Economy (IfW)
- (where)
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Kiel
- (when)
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2018
- DOI
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doi:10.5018/economics-ejournal.ja.2018-20
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Biondo, Alessio Emanuele
- Kiel Institute for the World Economy (IfW)
Time of origin
- 2018
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