This paper presents a simulative model of a financial market, based on a fully operating order book with limit and market orders. The heterogeneity of traders is characterized not only with regards to their trading rules, but also by introducing a behavioral individual risk aversion and a learning ability influencing the process of expectations formation. Results show that individual learning may play a role in stabilizing the aggregate market dynamics, whereas the risk aversion has, counterintuitively, the opposite effect.
Titolo: | Learning to forecast, risk aversion, and microstructural aspects of financial stability |
Autori interni: | BIONDO, ALESSIO EMANUELE (Corresponding) |
Data di pubblicazione: | 2018 |
Rivista: | |
Handle: | http://hdl.handle.net/20.500.11769/358221 |
Appare nelle tipologie: | 1.1 Articolo in rivista |
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Economics_2018-20.pdf | Versione Editoriale (PDF) | Open Access Visualizza/Apri |
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