The Community for Technology Leaders
RSS Icon
Issue No.05 - September/October (2007 vol.22)
pp: 58-64
Yongjie Zhang , Tianjin University
Wei Zhang , Tianjin University and Tianjin University of Finance & Economics
Extending finance theories using agent-based computational methods serves two purposes. First, it contributes to solving the intractability problem in behavioral-finance research. Second, it enlarges the agent-based method's application domain. The authors describe their research to extend behavioral finance using agent-based computing, then investigate some key issues in designing artificial stock markets. As their experiments show, agent-based modeling makes a meaningful contribution in extending financial economic theories. This article is part of a special issue on social computing.
financial computing, agent-based computing, artificial intelligence, computing methodologies, social computing, social and behavioral sciences, computer applications
Yongjie Zhang, Wei Zhang, "Can Irrational Investors Survive? A Social-Computing Perspective", IEEE Intelligent Systems, vol.22, no. 5, pp. 58-64, September/October 2007, doi:10.1109/MIS.2007.82
1. R. Lucas, "Asset Prices in an Exchange Economy," Econometrica, vol. 46, no. 6, 1978, pp. 1426–1445.
2. M. Friedman, "The Case for Flexible Exchange Rates," Essays in Positive Economics, M. Friedman ed., Univ. Chicago Press, 1953, pp. 157–203.
3. N. Barberis, A. Shleifer, and R. Vishny, "A Model of Investor Sentiment," J. Financial Economics, vol. 49, no. 3, 1998, pp. 307–343.
4. J. De Long et al., "Noise Trader Risk in Financial Markets," J. Political Economy, vol. 98, no. 4, 1990, pp. 703–738.
5. M. Levy, H. Levy, and S. Solomon, Microscopic Simulation of Financial Markets: From Investor Behavior to Market Phenomena, Academic Press, 2000.
6. W. Arthur et al., "Asset Pricing under Endogenous Expectations in an Artificial Stock Market," The Economy as an Evolving Complex System II, W. Arthur, S. Durlauf, and D. Lane, eds., Addison-Wesley, 1997, pp. 15–44.
7. W. Zhang et al., "BSV Investors Versus Rational Investors: An Agent-Based Computational Finance Model," Int'l J. Information Technology &Decision Making, vol. 5, no. 4, 2006, pp. 455–467.
8. W. De Bondt and R. Thaler, "Does the Stock Market Overreact?" J. Finance, vol. 40, no. 3, 1985, pp. 793–805.
18 ms
(Ver 2.0)

Marketing Automation Platform Marketing Automation Tool