Prospect Theory in the Heterogeneous Agent Model
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F19%3A00488438" target="_blank" >RIV/67985556:_____/19:00488438 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/19:10373121
Result on the web
<a href="https://link.springer.com/article/10.1007%2Fs11403-018-0219-6" target="_blank" >https://link.springer.com/article/10.1007%2Fs11403-018-0219-6</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s11403-018-0219-6" target="_blank" >10.1007/s11403-018-0219-6</a>
Alternative languages
Result language
angličtina
Original language name
Prospect Theory in the Heterogeneous Agent Model
Original language description
Using the Heterogeneous Agent Model framework, we incorporate an extension based on Prospect Theory into a popular agent-based asset pricing model. This extension covers the phenomenon of loss aversion manifested in risk aversion and asymmetric treatment of gains and losses. Using Monte Carlo methods, we investigate behavior and statistical properties of the extended model and assess how our extension is manifested in different strategies. We show that, on the one hand, the Prospect Theory extension keeps the essential underlying mechanics of the model intact, but on the other hand it considerably changes the model dynamics. Stability of the model is increased and fundamentalists may be able to survive in the market more easily. When only the fundamentalists are loss-averse, other strategies profit more.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50206 - Finance
Result continuities
Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Journal of Economic Interaction and Coordination
ISSN
1860-711X
e-ISSN
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Volume of the periodical
14
Issue of the periodical within the volume
1
Country of publishing house
DE - GERMANY
Number of pages
28
Pages from-to
147-174
UT code for WoS article
000458774200006
EID of the result in the Scopus database
2-s2.0-85044074958