Behavioral Finance, Agent-Based Models and Social Network

• Grant number: 18/22562-4
• Support Opportunities: Scholarships abroad - Research
• Start date: August 26, 2019
• End date: February 25, 2020
• Field of knowledge: Applied Social Sciences - Economics - Fiscal and Monetary Policies
• Principal Investigator: Mario Augusto Bertella
• Grantee: Mario Augusto Bertella
• Host Investigator: Didier Sornette
• Host Institution: Faculdade de Ciências e Letras (FCL). Universidade Estadual Paulista (UNESP). Campus de Araraquara. Araraquara , SP, Brazil
• Institution abroad: Swiss Federal Institute of Technology Zurich, Switzerland

Abstract

This research targets to simulate computationally an environment with heterogeneous agents where their behaviors differ from the optimizer and rational pattern of the conventional economic theory incorporating psychological or emotional biases. The Behavioral Finance, in conjunction with Psychology, has revealed that successful agents are not as rational as neoclassical theory assumes. On the other hand, the Agent-Based Computational Economics verifies which result prevails when various agents with different behaviors interact. In this sense, the instrumental agent based is an important tool to test and simulate whether micro aspect predominates and which factors may explain the divergent results under the macro point of view. On the other hand, since economic agents relate to each other in some way, the goal is to include one or more types of social network to ascertain their influence on the formation of booms and crashes.

Scientific publications

(4)

(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.; SILVA, JONATHAS N.; STANLEY, H. EUGENE. Loss aversion, overconfidence and their effects on a virtual stock exchange. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v. 554, SEP 15 2020. (18/22562-4)

DE SOUSA FILHO, F. N. M.; SILVA, J. N.; BERTELLA, M. A.; BRIGATTI, E.. The Leverage Effect and Other Stylized Facts Displayed by Bitcoin Returns. Brazilian Journal of Physics, JAN 2021. (18/22562-4)

BERTELLA, MARIO A.; SILVA, JONATHAS N.; CORREA, ANDRE L.; SORNETTE, DIDIER. The Influence of Confidence and Social Networks on an Agent-Based Model of Stock Exchange. COMPLEXITY, v. 2021, JUL 19 2021. (18/22562-4)

DE SOUSA FILHO, F. N. M.; SILVA, J. N.; BERTELLA, M. A.; BRIGATTI, E.. The Leverage Effect and Other Stylized Facts Displayed by Bitcoin Returns. Brazilian Journal of Physics, v. 51, n. 3, p. 11-pg., 2021-01-29. (18/22562-4)