Learning to forecast, risk aversion, and microstructural aspects of financial stability
Abstract: 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.
- Location
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Deutsche Nationalbibliothek Frankfurt am Main
- Extent
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Online-Ressource
- Language
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Englisch
- Bibliographic citation
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Learning to forecast, risk aversion, and microstructural aspects of financial stability ; volume:12 ; number:1 ; year:2018 ; extent:22
Economics / Journal articles. Journal articles ; 12, Heft 1 (2018) (gesamt 22)
- Creator
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Biondo, Alessio Emanuele
- DOI
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10.5018/economics-ejournal.ja.2018-20
- URN
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urn:nbn:de:101:1-2412131010251.605481751528
- Rights
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Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Last update
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15.08.2025, 7:41 AM CEST
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Associated
- Biondo, Alessio Emanuele
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