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.
Learning to forecast, risk aversion, and microstructural aspects of financial stability
Biondo, Alessio Emanuele
2018-01-01
Abstract
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.File in questo prodotto:
File | Dimensione | Formato | |
---|---|---|---|
Economics_2018-20.pdf
accesso aperto
Tipologia:
Versione Editoriale (PDF)
Dimensione
4.56 MB
Formato
Adobe PDF
|
4.56 MB | Adobe PDF | Visualizza/Apri |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.