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|
BIONDO, ALESSIO EMANUELE (Corresponding)
|Data di pubblicazione:||2018|
|Appare nelle tipologie:||1.1 Articolo in rivista|