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Please use this identifier to cite or link to this item: http://acervodigital.unesp.br/handle/11449/111553
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dc.contributor.authorBertella, Mario Augusto-
dc.contributor.authorPires, Felipe R.-
dc.contributor.authorFeng, Ling-
dc.contributor.authorStanley, Harry Eugene-
dc.date.accessioned2014-12-03T13:08:45Z-
dc.date.accessioned2016-10-25T20:09:07Z-
dc.date.available2014-12-03T13:08:45Z-
dc.date.available2016-10-25T20:09:07Z-
dc.date.issued2014-01-08-
dc.identifierhttp://dx.doi.org/10.1371/journal.pone.0083488-
dc.identifier.citationPlos One. San Francisco: Public Library Science, v. 9, n. 1, 9 p., 2014.-
dc.identifier.issn1932-6203-
dc.identifier.urihttp://hdl.handle.net/11449/111553-
dc.identifier.urihttp://acervodigital.unesp.br/handle/11449/111553-
dc.description.abstractUsing a behavioral finance approach we study the impact of behavioral bias. We construct an artificial market consisting of fundamentalists and chartists to model the decision-making process of various agents. The agents differ in their strategies for evaluating stock prices, and exhibit differing memory lengths and confidence levels. When we increase the heterogeneity of the strategies used by the agents, in particular the memory lengths, we observe excess volatility and kurtosis, in agreement with real market fluctuations-indicating that agents in real-world financial markets exhibit widely differing memory lengths. We incorporate the behavioral traits of adaptive confidence and observe a positive correlation between average confidence and return rate, indicating that market sentiment is an important driver in price fluctuations. The introduction of market confidence increases price volatility, reflecting the negative effect of irrationality in market behavior.en
dc.description.sponsorshipSao Paulo State University (UNESP)-
dc.description.sponsorshipFundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)-
dc.description.sponsorshipONR-
dc.description.sponsorshipDTRA-
dc.description.sponsorshipNSF-
dc.format.extent9-
dc.language.isoeng-
dc.publisherPublic Library Science-
dc.sourceWeb of Science-
dc.titleConfidence and the Stock Market: An Agent-Based Approachen
dc.typeoutro-
dc.contributor.institutionUniversidade Estadual Paulista (UNESP)-
dc.contributor.institutionBoston University-
dc.contributor.institutionCompanhia Metropolitano Sao Paulo-
dc.contributor.institutionNatl Univ Singapore-
dc.description.affiliationSao Paulo State Univ UNESP, Dept Econ, Sao Paulo, Brazil-
dc.description.affiliationBoston Univ, Ctr Polymer Studies, Boston, MA 02215 USA-
dc.description.affiliationBoston Univ, Dept Phys, Boston, MA 02215 USA-
dc.description.affiliationCompanhia Metropolitano Sao Paulo, Sao Paulo, Brazil-
dc.description.affiliationNatl Univ Singapore, Dept Phys, Singapore 117548, Singapore-
dc.description.affiliationNatl Univ Singapore, Ctr Computat Sci & Engn, Singapore 117548, Singapore-
dc.description.affiliationUnespSao Paulo State Univ UNESP, Dept Econ, Sao Paulo, Brazil-
dc.description.sponsorshipIdFAPESP: 12/17670-6-
dc.description.sponsorshipIdONRN00014-12-1-0548-
dc.description.sponsorshipIdDTRAHDTRA-1-10-1-0014-
dc.description.sponsorshipIdDTRAHDTRA-1-09-1-0035-
dc.description.sponsorshipIdNSFCMMI 1125290-
dc.identifier.doi10.1371/journal.pone.0083488-
dc.identifier.wosWOS:000329862500051-
dc.rights.accessRightsAcesso aberto-
dc.identifier.fileWOS000329862500051.pdf-
dc.relation.ispartofPLOS ONE-
Appears in Collections:Artigos, TCCs, Teses e Dissertações da Unesp

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