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

Registro completo de metadados
MetadadosDescriçãoIdioma
Autor(es): dc.contributorUniversidade Estadual Paulista (Unesp)-
Autor(es): dc.contributorSwiss Federal Institute of Technology in Zurich (ETH Zurich)-
Autor(es): dc.contributorBoston University-
Autor(es): dc.creatorBertella, Mario A. [UNESP]-
Autor(es): dc.creatorSilva, Jonathas N. [UNESP]-
Autor(es): dc.creatorStanley, H. Eugene-
Data de aceite: dc.date.accessioned2022-02-22T00:24:56Z-
Data de disponibilização: dc.date.available2022-02-22T00:24:56Z-
Data de envio: dc.date.issued2020-12-11-
Data de envio: dc.date.issued2020-12-11-
Data de envio: dc.date.issued2020-09-15-
Fonte completa do material: dc.identifierhttp://dx.doi.org/10.1016/j.physa.2019.123909-
Fonte completa do material: dc.identifierhttp://hdl.handle.net/11449/198573-
Fonte: dc.identifier.urihttp://educapes.capes.gov.br/handle/11449/198573-
Descrição: dc.descriptionThis 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.-
Descrição: dc.descriptionFundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)-
Descrição: dc.descriptionConselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)-
Descrição: dc.descriptionDepartment of Economics Sao Paulo State University (UNESP)-
Descrição: dc.descriptionSwiss Federal Institute of Technology in Zurich (ETH Zurich)-
Descrição: dc.descriptionCenter for Polymer Studies Boston University-
Descrição: dc.descriptionDepartment of Economics Sao Paulo State University (UNESP)-
Descrição: dc.descriptionFAPESP: 2018/22562-4-
Descrição: dc.descriptionCNPq: 303986/2017-4-
Descrição: dc.descriptionCNPq: 428433/2018-9-
Idioma: dc.languageen-
Relação: dc.relationPhysica A: Statistical Mechanics and its Applications-
???dc.source???: dc.sourceScopus-
Palavras-chave: dc.subjectAgent-based models-
Palavras-chave: dc.subjectBehavioral finance-
Palavras-chave: dc.subjectStock exchange-
Título: dc.titleLoss aversion, overconfidence and their effects on a virtual stock exchange-
Tipo de arquivo: dc.typelivro digital-
Aparece nas coleções:Repositório Institucional - Unesp

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