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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)

News published in Agência FAPESP Newsletter about the scholarship:
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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, . (12/17670-6)