TY - JOUR
T1 - A financial market model with confirmation bias
AU - Cafferata, Alessia
AU - Tramontana, Fabio
PY - 2019
Y1 - 2019
N2 - We develop a financial market model with heterogeneous agents who can be affected by confirmation bias. In particular we consider optimistic and pessimistic agents who adjust their beliefs giving more attention and consideration to evidences supporting their prior beliefs. These kinds of traders coexist with fundamentalists and chartists. We show that this psychological bias makes beliefs more and more distant as time passes, and permits to better explain some important stylized facts of financial markets.
AB - We develop a financial market model with heterogeneous agents who can be affected by confirmation bias. In particular we consider optimistic and pessimistic agents who adjust their beliefs giving more attention and consideration to evidences supporting their prior beliefs. These kinds of traders coexist with fundamentalists and chartists. We show that this psychological bias makes beliefs more and more distant as time passes, and permits to better explain some important stylized facts of financial markets.
KW - Financial markets
KW - Heterogeneous agents
KW - Monte Carlo simulations
KW - Piecewise-defined maps
KW - Financial markets
KW - Heterogeneous agents
KW - Monte Carlo simulations
KW - Piecewise-defined maps
UR - http://hdl.handle.net/10807/142622
U2 - 10.1016/j.strueco.2019.08.004
DO - 10.1016/j.strueco.2019.08.004
M3 - Article
SN - 0954-349X
SP - 252
EP - 259
JO - Structural Change and Economic Dynamics
JF - Structural Change and Economic Dynamics
ER -