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Avoiding regret in an agent-based asset pricing model

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Avoiding regret in an agent-based asset pricing model. / Pruna, Radu T.; Polukarov, Maria; Jennings, Nicholas R.

In: Finance research letters, 28.09.2017.

Research output: Contribution to journalArticle

Harvard

Pruna, RT, Polukarov, M & Jennings, NR 2017, 'Avoiding regret in an agent-based asset pricing model', Finance research letters. https://doi.org/10.1016/j.frl.2017.09.014

APA

Pruna, R. T., Polukarov, M., & Jennings, N. R. (2017). Avoiding regret in an agent-based asset pricing model. Finance research letters. https://doi.org/10.1016/j.frl.2017.09.014

Vancouver

Pruna RT, Polukarov M, Jennings NR. Avoiding regret in an agent-based asset pricing model. Finance research letters. 2017 Sep 28. https://doi.org/10.1016/j.frl.2017.09.014

Author

Pruna, Radu T. ; Polukarov, Maria ; Jennings, Nicholas R. / Avoiding regret in an agent-based asset pricing model. In: Finance research letters. 2017.

Bibtex Download

@article{7e8249e2cb984b278430adcc17928d62,
title = "Avoiding regret in an agent-based asset pricing model",
abstract = "We use an agent-based asset pricing model to test the implications of the disposition effect (avoiding regret) on investors' interactions and price settings. We show that it has a direct impact on the returns series produced by the model, altering important stylized facts such as its heavy tails and volatility clustering. Moreover, we show that the horizon over which investors compute their wealth has no effect on the dynamics produced by the model.",
keywords = "Agent-based model, Asset pricing, Behavioural bias, Disposition effect",
author = "Pruna, {Radu T.} and Maria Polukarov and Jennings, {Nicholas R.}",
year = "2017",
month = sep,
day = "28",
doi = "10.1016/j.frl.2017.09.014",
language = "English",
journal = "Finance research letters",
issn = "1544-6131",
publisher = "Elsevier BV",

}

RIS (suitable for import to EndNote) Download

TY - JOUR

T1 - Avoiding regret in an agent-based asset pricing model

AU - Pruna, Radu T.

AU - Polukarov, Maria

AU - Jennings, Nicholas R.

PY - 2017/9/28

Y1 - 2017/9/28

N2 - We use an agent-based asset pricing model to test the implications of the disposition effect (avoiding regret) on investors' interactions and price settings. We show that it has a direct impact on the returns series produced by the model, altering important stylized facts such as its heavy tails and volatility clustering. Moreover, we show that the horizon over which investors compute their wealth has no effect on the dynamics produced by the model.

AB - We use an agent-based asset pricing model to test the implications of the disposition effect (avoiding regret) on investors' interactions and price settings. We show that it has a direct impact on the returns series produced by the model, altering important stylized facts such as its heavy tails and volatility clustering. Moreover, we show that the horizon over which investors compute their wealth has no effect on the dynamics produced by the model.

KW - Agent-based model

KW - Asset pricing

KW - Behavioural bias

KW - Disposition effect

UR - http://www.scopus.com/inward/record.url?scp=85030751413&partnerID=8YFLogxK

U2 - 10.1016/j.frl.2017.09.014

DO - 10.1016/j.frl.2017.09.014

M3 - Article

AN - SCOPUS:85030751413

JO - Finance research letters

JF - Finance research letters

SN - 1544-6131

ER -

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