| Full text | |
| Author(s): |
Total Authors: 3
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| Affiliation: | [1] Sao Paulo State Univ UNESP, Dept Econ, BR-14800901 Araraquara, SP - Brazil
[2] Swiss Fed Inst Technol Zurich ETH Zurich, CH-8006 Zurich - Switzerland
[3] Stanley, H. Eugene, Boston Univ, Ctr Polymer Studies, Boston, MA 02215 USA.Bertella, Mario A., Sao Paulo State Univ UNESP, Dept Econ, BR-14800901 Araraquara, SP - Brazil
[4] Boston Univ, Ctr Polymer Studies, Boston, MA 02215 - USA
Total Affiliations: 4
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| Document type: | Journal article |
| Source: | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS; v. 554, SEP 15 2020. |
| Web of Science Citations: | 0 |
| Abstract | |
This paper studies the effects of overconfidence and loss aversion in an artificial stock exchange. When we model only fundamentalists we find results that are consistent with homogeneous agent models. Adding 5% of chartists increases the stock return rate but also increases other variables, including volatility and kurtosis. We find that the inclusion of confidence in 5% of chartists raises the trading volume as empirical evidences corroborate and price volatility increases considerably. On the other hand, loss aversion in 5% of chartists substantially decreases the trading volume, although chartist traders now have a higher percentage of stocks in their portfolios, and a buy and hold strategy is adopted to mitigate losses. (C) 2019 Elsevier B.V. All rights reserved. (AU) | |
| FAPESP's process: | 18/22562-4 - Behavioral Finance, Agent-Based Models and Social Network |
| Grantee: | Mario Augusto Bertella |
| Support Opportunities: | Scholarships abroad - Research |