Learning to forecast, risk aversion, and microstructural aspects of financial stability

Alessio Emanuele Biondo

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.

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Year of publication:	April 23, 2018
Authors:	Biondo, Alessio Emanuele
Publisher:	[Kiel] : [Kiel Inst. for the World Economy]
Subject:	Order book \| learning to forecast \| risk aversion \| agent-based models \| Risikoaversion \| Risk aversion \| Theorie \| Theory \| Prognoseverfahren \| Forecasting model \| Agentenbasierte Modellierung \| Agent-based modeling \| Lernprozess \| Learning process \| Marktmikrostruktur \| Market microstructure \| Finanzmarkt \| Financial market \| Risiko \| Risk \| Wertpapierhandel \| Securities trading

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Extent:	1 Online-Ressource (21 Seiten)
Series:	Economics ; vol. 12, 2018-20
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.5018/economics-ejournal.ja.2018-20 [DOI] hdl:10419/177896 [Handle]
Classification:	E44 - Financial Markets and the Macroeconomy ; E47 - Forecasting and Simulation ; C63 - Computational Techniques
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011824135