Abstract
Models of interacting agents are able to descibe the so-called stylized facts about
financial markets simultanously (LeBaron (2001), Hommes (2006)). Agent-based financial
market modeling basically constitutes a problem of organized complexity.
Individual behavior is determined by both deterministic and stochastic factors that
influence the decision process and, therefore, the choice or action of the decisionmaker.
In this paper, we propose a Discrete Choice model that is able to handle the
complexity of individual decision-making at capital markets. The model integrates
different classes of agents (i.e. segmentation), and explicitely models the role of market
participants perception and attitudes. The market is driven by interactions between
market participants. In order to model individual behavior realistically, we combine choice and expectations data, as stressed by Manski (2004).
financial markets simultanously (LeBaron (2001), Hommes (2006)). Agent-based financial
market modeling basically constitutes a problem of organized complexity.
Individual behavior is determined by both deterministic and stochastic factors that
influence the decision process and, therefore, the choice or action of the decisionmaker.
In this paper, we propose a Discrete Choice model that is able to handle the
complexity of individual decision-making at capital markets. The model integrates
different classes of agents (i.e. segmentation), and explicitely models the role of market
participants perception and attitudes. The market is driven by interactions between
market participants. In order to model individual behavior realistically, we combine choice and expectations data, as stressed by Manski (2004).
| Originalsprache | Englisch |
|---|---|
| Publikationsstatus | Veröffentlicht - 1 Sept. 2007 |