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(Referência obtida automaticamente do Web of Science, por meio da informação sobre o financiamento pela FAPESP e o número do processo correspondente, incluída na publicação pelos autores.)

Expected utility or prospect theory: Which better fits agent-based modeling of markets?

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Autor(es):
Andre Lima de Castro, Paulo ; Barreto Teodoro, Anderson Rodrigo ; de Castro, Luciano Irineu ; Parsons, Simon
Número total de Autores: 4
Tipo de documento: Artigo Científico
Fonte: JOURNAL OF COMPUTATIONAL SCIENCE; v. 17, n. 1, p. 97-102, NOV 2016.
Citações Web of Science: 1
Resumo

Agent-based simulations may be a way to model human society behavior in decisions under risk. However, it is well known in economics that Expected Utility Theory (EUT) is flawed as a descriptive model. In fact, there are some models based on prospect theory (PT), that try to provide a better description. If people behave according to PT in finance environments, it is arguable that PT based agents may be a better choice for such environments. We investigate this idea in a specific risky environment, a financial market. We propose an architecture for PT-based agents. Due to some limitations of the original PT, we use an extension of PT called Smooth Prospect Theory (SPT). We simulate artificial markets with PT and traditional (TRA) agents using historical data of many different assets over a period of 20 years. The results showed that SPT-based agents provided behavior that is closer to real market data than TRA agents, and that the improvement when using SPT rather than TRA agents is statistically significant. It supports the idea that PT based agents may be a better pick to model the behaviour of agents in risky environments. (C) 2016 Elsevier B.V. All rights reserved. (AU)

Processo FAPESP: 11/18325-8 - Projeto automatizado de mecanismos utilizando agentes baseados em teoria perspectiva
Beneficiário:Paulo Andre Lima de Castro
Linha de fomento: Bolsas no Exterior - Pesquisa