Agent-Based Modeling Bridges Theory of Behavioral Finance and Financial Markets
نویسندگان
چکیده
Financial Economics researches have become active since 1950’s and many prominent theories regarding asset pricing and corporate finance have been proposed (Markowitz, 1952; Modigliani, Miller, 1958; Sharpe, 1964; Shleifer, 2000). The assumption of the efficiency of financial markets plays an important role in the literature in traditional financial theory and many research have been conducted based on the assumption (Friedman,1953; Fama,1970). For example, CAPM (Capital Asset Pricing Model), one of the most popular asset pricing theory in the traditional financial literature, is derived based on the assumptions of the efficient market and rational ABSTRACT
منابع مشابه
Consentaneous Agent-Based and Stochastic Model of the Financial Markets
We are looking for the agent-based treatment of the financial markets considering necessity to build bridges between microscopic, agent based, and macroscopic, phenomenological modeling. The acknowledgment that agent-based modeling framework, which may provide qualitative and quantitative understanding of the financial markets, is very ambiguous emphasizes the exceptional value of well defined ...
متن کاملConceptual Agent based Modeling in Supply Chain: An Economic Perspective
Abstract: The implementation of government legislation, social responsibility, environmental concerns regarding the reduction of waste, hazardous material and other consumer residuals have made the competition between the firms stricter than ever and nowadays firms that want to survive need a more productive and innovative approach toward the financial aspects of their businesses.his pape...
متن کاملEvaluating the Performance of an Ambidextrous Bank Using an Agent-based Modeling Approach: A Case Study of Sepah Bank
Banks are the financial institutions that collect assets from various sources and allocate them to the sectors that require liquidity. Therefore, banks are an inherent element in the system of every country. As private banks enter financial markets, the demand for diverse banking services increases dramatically. Banks seek to use various techniques to improve their performance in attracting cus...
متن کاملAgent-based Financial Markets: Matching Stylized Facts With Style
Empirical facts from financial data pose some of the most difficult puzzles for equilibrium macroeconomic modeling. Features such as volatility, excess kurtosis, and conditional heteroscedasticity are not easily replicated by any single representative agent model. Most agent-based financial markets are able to match a good subset of these features quite easily. This paper will summarize some of...
متن کاملStock Price Momentum Modeling: A Grounded Theory Approach
Recently, understanding the anomalies in financial markets have severely chal-lenged the efficient market hypothesis (EMH). The price momentum is one of the anomalies described as the unexplained short-term return by Fama and French (1996). The present research strives for modeling the price momentum of winner stock in the Iranian capital market. The grounded theory method was used to explain t...
متن کامل