Asset Management Strategies: Risk and Transaction Costs in Simulation

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F16%3A00010162" target="_blank" >RIV/47813059:19520/16:00010162 - isvavai.cz</a>
Result on the web
<a href="https://books.google.com.sg/books?hl=en@lr=lang_en@id=UPVrCgAAQBAJ@oi=fnd@pg=PA17@ots=_YAhY7x5sw@sig=oB3goeN3hW7m9bTuYk5kA82z_z8#v=onepage@q@f=false" target="_blank" >https://books.google.com.sg/books?hl=en@lr=lang_en@id=UPVrCgAAQBAJ@oi=fnd@pg=PA17@ots=_YAhY7x5sw@sig=oB3goeN3hW7m9bTuYk5kA82z_z8#v=onepage@q@f=false</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/978-3-319-21209-8_2" target="_blank" >10.1007/978-3-319-21209-8_2</a>

Result language
angličtina
Original language name
Asset Management Strategies: Risk and Transaction Costs in Simulation
Original language description
In recent years, there has been rising interest in a field called behavioral finance, which incorporates psychological methods in analysing investor behavior. The aim of this paper is to study the technical and the fundamental investing strategy of financial market participants dealing with assets. The motivation of the pre-sented research is to simulate the financial market in the form of agent-based model and to investigate various impacts of risk and transaction costs on its sta-bility. Computational social science involves the use of agent-based modeling and simulation to study complex social systems. It is related to a variety of other sim-ulation techniques, including discrete event simulation and distributed artificial in-telligence or multi-agent systems. In practice, each agent has only partial knowledge of other agents and each agent makes its own decisions based on the partial knowledge about other agents in the system. For purposes of this paper, a multi-agent system will be implemented as a simulation framework in JADE de-velopment platform. The hypothesis was that transaction costs introduction will stabilize the financial market. The results obtained show that in the case of risk involvement into the system the hypothesis can be fulfilled only partially.
Czech name
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Czech description
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Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Smart Innovation, Systems and Technologies. 5th International Conference on Intelligent Decision Technologies.
ISBN
978-3-319-21208-1
ISSN
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e-ISSN
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Number of pages
14
Pages from-to
17-30
Publisher name
Springer Science and Business Media Deutschland GmbH
Place of publication
Switzerland
Event location
Sesimbra
Event date
Jun 26, 2013
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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