An artificial market based on agents with fluid attitude toward risks and returns

Takuya Iwamura () and Yoshiyasu Takefuji ()
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Takuya Iwamura: Graduate School of Media and Governance, Keio University, 5322 Endo, Fujisawa-shi, Kanagawa 252-8520, Japan
Yoshiyasu Takefuji: Graduate School of Media and Governance, Keio University, 5322 Endo, Fujisawa-shi, Kanagawa 252-8520, Japan

Advances in Complex Systems (ACS), 2000, vol. 03, issue 01n04, 385-397

Abstract: The behaviour of traders in a stock market is influenced by their attitude toward the risk of the security. In this research the internal model of the risk-averse and the risk-loving trader is proposed in the context of the artificial market. This model is based on the ideas of the expected utility hypothesis. It is important to model the difference in subjective value of the same stock because this difference enables market activities. The feature of the proposed model is that this model realizes the dynamic aspect of trader's preference in the risk and the return.

Keywords: artificial market; expected utility; risk aversion; Genetic Algorithm (search for similar items in EconPapers)
Date: 2000
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DOI: 10.1142/S0219525900000273

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