Behavioral finance and agent models

• Grant number: 12/17670-6
• Support Opportunities: Scholarships abroad - Research
• Start date: February 05, 2013
• End date: February 04, 2014
• Field of knowledge: Applied Social Sciences - Economics - Fiscal and Monetary Policies
• Principal Investigator: Mario Augusto Bertella
• Grantee: Mario Augusto Bertella
• Host Investigator: H. Eugene Stanley
• Host Institution: Faculdade de Ciências e Letras (FCL). Universidade Estadual Paulista (UNESP). Campus de Araraquara. Araraquara , SP, Brazil
• Institution abroad: Boston University (BU), United States

Abstract

The purpose of this research is to promote the integration of two approaches, namely Behavioral Finance (BF) and agent models. The goal is to simulate computationally an environment with heterogeneous agents in which their behaviors differ from standard optimizer and rational agent of the economic theory. The Behavioral Finance, in conjunction with Psychology, have successfully revealed that agents are not so rational as neoclassical theory assumes. On the other hand, the Agent-based Computational Economics seeks to verify that which aggregate result prevails when different agents interact with distinct behaviors. In this sense, the instrumental agent based is a great way to test and simulate if the micro aspect predominates and which factors may explain the divergent results under the macro viewpoint. (AU)

Scientific publications

(References retrieved automatically from Web of Science and SciELO through information on FAPESP grants and their corresponding numbers as mentioned in the publications by the authors)

BERTELLA, MARIO A.; PIRES, FELIPE R.; FENG, LING; STANLEY, HARRY EUGENE. Confidence and the Stock Market: An Agent-Based Approach. PLoS One, v. 9, n. 1, JAN 8 2014. (12/17670-6)