English, Article edition: BSV INVESTORS VERSUS RATIONAL INVESTORS: AN AGENT-BASED COMPUTATIONAL FINANCE MODEL WEI ZHANG; YONGJIE ZHANG; XIONG XIONG; ...

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Bookmark: http://trove.nla.gov.au/version/36691
Physical Description
  • article
Language
  • English

Edition details

Title
  • BSV INVESTORS VERSUS RATIONAL INVESTORS: AN AGENT-BASED COMPUTATIONAL FINANCE MODEL
Author
  • WEI ZHANG
  • YONGJIE ZHANG
  • XIONG XIONG
  • XI JIN
Physical Description
  • article
Notes
  • BSV (Barberis, Shleifer and Vishny [Journal of Financial Economics 49 (1998) 307â343]) model is one of the three major behavioral finance models. The existing BSV model is about how behavioral investors form beliefs, and is able to produce both overreaction and mean-reversion for a wide range of parameter values. However, the assumption that all investors in the market must all be BSV investors is a little strict and remains controversial. In this paper, we present an agent-based computational model of the dynamic game between BSV investors and rational investors. Time series from the artificial stock market are analyzed and two interesting findings are reported. First, the introduction of rational investors will not eliminate the anomalies of overreaction and mean-reversion. Second, no evidence is found that the BSV investors will lose money to their counterparts although their cognitive bias makes them form a false kind of expectation. On the contrary, some weak evidence is reported that BSV investors are less likely to bankrupt.
  • Agent-based modeling, behavioral finance, BSV model, computational experiments, simulation
  • RePEc:wsi:ijitdm:v:05:y:2006:i:03:p:455-466
Language
  • English
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