Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F13%3A10139544" target="_blank" >RIV/00216208:11230/13:10139544 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/67985556:_____/13:00395344

Výsledek na webu

<a href="http://www.sciencedirect.com/science/article/pii/S0378437113006602" target="_blank" >http://www.sciencedirect.com/science/article/pii/S0378437113006602</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.physa.2013.07.050" target="_blank" >10.1016/j.physa.2013.07.050</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment

Popis výsledku v původním jazyce

The main aim of this work is to incorporate selected findings from behavioural finance into a Heterogeneous Agent Model using the Brock and Hommes (1998) [34] framework. Behavioural patterns are injected into an asset pricing framework through the so-called 'Break Point Date', which allows us to examine their direct impact. In particular, we analyse the dynamics of the model around the behavioural break. Price behaviour of 30 Dow Jones Industrial Average constituents covering five particularly turbulentUS stock market periods reveals interesting patterns in this aspect. To replicate it, we apply numerical analysis using the Heterogeneous Agent Model extended with the selected findings from behavioural finance: herding, overconfidence, and market sentiment. We show that these behavioural breaks can be well modelled via the Heterogeneous Agent Model framework and they extend the original model considerably. Various modifications lead to significantly different results and model with beh

Název v anglickém jazyce

Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment

Popis výsledku anglicky

The main aim of this work is to incorporate selected findings from behavioural finance into a Heterogeneous Agent Model using the Brock and Hommes (1998) [34] framework. Behavioural patterns are injected into an asset pricing framework through the so-called 'Break Point Date', which allows us to examine their direct impact. In particular, we analyse the dynamics of the model around the behavioural break. Price behaviour of 30 Dow Jones Industrial Average constituents covering five particularly turbulentUS stock market periods reveals interesting patterns in this aspect. To replicate it, we apply numerical analysis using the Heterogeneous Agent Model extended with the selected findings from behavioural finance: herding, overconfidence, and market sentiment. We show that these behavioural breaks can be well modelled via the Heterogeneous Agent Model framework and they extend the original model considerably. Various modifications lead to significantly different results and model with beh

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GA402%2F09%2F0965" target="_blank" >GA402/09/0965: Nové přístupy pro monitorování a predikci na kapitálových trzích</a><br>

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2013

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Physica A: Statistical Mechanics and its Applications

ISSN

0378-4371

e-ISSN

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Svazek periodika

392

Číslo periodika v rámci svazku

23

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

19

Strana od-do

5920-5938

Kód UT WoS článku

000326772200015

EID výsledku v databázi Scopus

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