Asset Management Strategies: Risk and Transaction Costs in Simulation

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Asset Management Strategies: Risk and Transaction Costs in Simulation

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Asset Management Strategies: Risk and Transaction Costs in Simulation

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

—

OECD FORD obor

50204 - Business and management

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2016

Kód důvěrnosti údajů

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

Název statě ve sborníku

Smart Innovation, Systems and Technologies. 5th International Conference on Intelligent Decision Technologies.

ISBN

978-3-319-21208-1

ISSN

—

e-ISSN

—

Počet stran výsledku

14

Strana od-do

17-30

Název nakladatele

Springer Science and Business Media Deutschland GmbH

Místo vydání

Switzerland

Místo konání akce

Sesimbra

Datum konání akce

26. 6. 2013

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

—