Can Prospect Theory Explain Market Calendar Effects?

Robert Mayo

MPRA Paper from University Library of Munich, Germany

Abstract: The purpose of this project is to determine if calendar effects observed in stock markets can be explained by prospect theory. In order to answer this question, I have created an agent based model simulating a stock market. There was no sign of any calendar effect in any of the configurations tested to a very high degree of confidence. In addition, there was no obvious difference in the market results generated between optimizing traders following multiple complex strategies and simple zero intelligence traders constrained only by their respective liquidity.

Keywords: Calendar effects; Agent-based model (search for similar items in EconPapers)
JEL-codes: C63 G02 (search for similar items in EconPapers)
Date: 2013-12-12
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/96719/1/MPRA_paper_96719.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:96719

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().