Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.5/10010
Registo completo
Campo DCValorIdioma
dc.contributor.authorLin, Shi-Woei-
dc.contributor.authorHuang, Hui-Lung-
dc.date.accessioned2015-11-03T11:14:31Z-
dc.date.available2015-11-03T11:14:31Z-
dc.date.issued2007-
dc.identifier.citationLin, Shi-Woei e Hui-Lung Huang (2007). "Agent-based modeling to investigate the disposition effect in financial markets". Portuguese Journal of Management Studies, XII(2):145-164pt_PT
dc.identifier.urihttp://hdl.handle.net/10400.5/10010-
dc.description.abstractOne of the behavioral patterns that deviate from what is predicted by traditional financial theories is the disposition effect. Although most empirical studies have reported a significant disposition effect, researchers have yet to conduct a conclusive test of thiseffect because a competing hypothesis or confounding effects might explain the documented significance. Thus, we use the tools of computational intelligence, instead of empirical approaches, to explore market behavior. In particular, we allow agents with different investment strategies to interact and to compete with each other in an artificial futures market. We found that the S-shaped value curve proposed by prospect theory may be one of the causes of the observed behavior of the disposition effect. However, rational expectation such as short-term mean reversion can even be more decisive.pt_PT
dc.language.isoengpt_PT
dc.publisherInstituto Superior de Economia e Gestãopt_PT
dc.rightsopenAccesspt_PT
dc.subjectagent-based modelpt_PT
dc.subjectdisposition effectpt_PT
dc.subjectbehavioral biaspt_PT
dc.subjectprospect theorypt_PT
dc.subjectfutures marketpt_PT
dc.titleAgent-based modeling to investigate the disposition effect in financial marketspt_PT
dc.typearticlept_PT
degois.publication.firstPage145pt_PT
degois.publication.issue2pt_PT
degois.publication.lastPage164pt_PT
degois.publication.locationLisboapt_PT
degois.publication.titlePortuguese Journal of Management Studiespt_PT
degois.publication.volumeXIIpt_PT
Aparece nas colecções:2007, Volume XII, nº 2

Ficheiros deste registo:
Ficheiro Descrição TamanhoFormato 
pjms-swl-hlh-2007.pdf309,46 kBAdobe PDFVer/Abrir


FacebookTwitterDeliciousLinkedInDiggGoogle BookmarksMySpace
Formato BibTex MendeleyEndnote Degois 

Todos os registos no repositório estão protegidos por leis de copyright, com todos os direitos reservados.