Loss aversion in an agent-based asset pricing model

A well-defined agent-based asset pricing model able to match the widely observed properties of financial time series is valuable for testing the implications of various biases associated with investors' behaviour. Extending one of the most successful models in capturing traders behaviour, we pr...

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Veröffentlicht in:	Quantitative finance 2020-02, Vol.20 (2), p.275-290
Hauptverfasser:	Pruna, Radu T., Polukarov, Maria, Jennings, Nicholas R.
Format:	Artikel
Sprache:	eng
Schlagworte:	Agent-based modelling Asset pricing Behavioural bias Bias Economic models Loss aversion Pricing policies Stylized facts Time series
Online-Zugang:	Volltext
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