Loss aversion, overconfidence and their effects on a virtual stock exchange

Autor(es)

Bertella, Mario A. ^{[1, 2]} ; Silva, Jonathas N. ^{[1, 3]} ; Stanley, H. Eugene ^[4]

Afiliação do(s) autor(es)

^[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

• Tipo de documento: Artigo Científico
• Fonte: PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS; v. 554, SEP 15 2020.
• Citações Web of Science: 0

Resumo

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)

• Processo FAPESP: 18/22562-4 - Finanças Comportamentais, Modelos Baseados em Agentes e Rede Social
• Beneficiário: Mario Augusto Bertella
• Modalidade de apoio: Bolsas no Exterior - Pesquisa