Open Access. Powered by Scholars. Published by Universities.®
Management Sciences and Quantitative Methods Commons™
Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 3 of 3
Full-Text Articles in Management Sciences and Quantitative Methods
Behavioral Agent-Based Framework For Interacting Financial Markets, Heba M. Ezzat Dr.
Behavioral Agent-Based Framework For Interacting Financial Markets, Heba M. Ezzat Dr.
Business Administration
Purpose – This paper aims at developing a behavioral agent-based model for interacting financial markets. Additionally, the effect of imposing Tobin taxes on market dynamics is explored. Design/methodology/approach – The agent-based approach is followed to capture the highly complex, dynamic nature of financial markets. The model represents the interaction between two different financial markets located in two countries. The artificial markets are populated with heterogeneous, boundedly rational agents. There are two types of agents populating the markets; market makers and traders. Each time step, traders decide on which market to participate in and which trading strategy to follow. Traders can …
Disposition Effect And Multi-Asset Market Dynamics, Heba M. Ezzat Dr.
Disposition Effect And Multi-Asset Market Dynamics, Heba M. Ezzat Dr.
Business Administration
Purpose – Asset pricing dynamics in a multi-asset framework when investors’ trading exhibits the disposition effect is studied. The purpose of this paper is to explore asset pricing dynamics and the switching behavior among multiple assets. Design/methodology/approach – The dynamics of complex financial markets can be best explored by following agent-based modeling approach. The artificial financial market is populated with traders following two heterogeneous trading strategies: the technical and the fundamental trading rules. By simulation, the switching behavior among multiple assets is investigated. Findings – The proposed framework can explain important stylized facts in financial time series, such as random …
Loss Aversion, Adaptive Beliefs, And Asset Pricing Dynamics, Kamal Samy Selim Prof, Ahmed Eltabee Okasha Dr., Heba M. Ezzat Dr.
Loss Aversion, Adaptive Beliefs, And Asset Pricing Dynamics, Kamal Samy Selim Prof, Ahmed Eltabee Okasha Dr., Heba M. Ezzat Dr.
Business Administration
We study asset pricing dynamics in artificial financial markets model. The financial market is populated with agents following two heterogeneous trading beliefs, the technical and the fundamental prediction rules. Agents switch between trading rules with respect to their past performance. The agents are loss averse over asset price fluctuations. Loss aversion behaviour depends on the past performance of the trading strategies in terms of an evolutionary fitness measure. We propose a novel application of the prospect theory to agent-based modelling, and by simulation, the effect of evolutionary fitness measure on adaptive belief system is investigated. For comparison, we study pricing …