About: Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment

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About: Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment Goto Sponge NotDistinct Permalink

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
rdfs:seeAlso	http://www.sciencedirect.com/science/article/pii/S0378437113006602
Description	The main aim of this work is to incorporate selected findings from behavioural finance into a Heterogeneous Agent Model using the Brock and Hommes (1998) [34] framework. Behavioural patterns are injected into an asset pricing framework through the so-called 'Break Point Date', which allows us to examine their direct impact. In particular, we analyse the dynamics of the model around the behavioural break. Price behaviour of 30 Dow Jones Industrial Average constituents covering five particularly turbulent US stock market periods reveals interesting patterns in this aspect. To replicate it, we apply numerical analysis using the Heterogeneous Agent Model extended with the selected findings from behavioural finance: herding, overconfidence, and market sentiment. We show that these behavioural breaks can be well modelled via the Heterogeneous Agent Model framework and they extend the original model considerably. Various modifications lead to significantly different results and model with behavioural breaks is also able to partially replicate price behaviour found in the data during turbulent stock market periods. The main aim of this work is to incorporate selected findings from behavioural finance into a Heterogeneous Agent Model using the Brock and Hommes (1998) [34] framework. Behavioural patterns are injected into an asset pricing framework through the so-called 'Break Point Date', which allows us to examine their direct impact. In particular, we analyse the dynamics of the model around the behavioural break. Price behaviour of 30 Dow Jones Industrial Average constituents covering five particularly turbulent US stock market periods reveals interesting patterns in this aspect. To replicate it, we apply numerical analysis using the Heterogeneous Agent Model extended with the selected findings from behavioural finance: herding, overconfidence, and market sentiment. We show that these behavioural breaks can be well modelled via the Heterogeneous Agent Model framework and they extend the original model considerably. Various modifications lead to significantly different results and model with behavioural breaks is also able to partially replicate price behaviour found in the data during turbulent stock market periods. (en)
Title	Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment (en)
skos:prefLabel	Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment (en)
skos:notation	RIV/00216208:11230/13:10139544!RIV14-MSM-11230___
http://linked.open...avai/predkladatel	Fakulta sociálních věd
http://linked.open...avai/riv/aktivita	I P S
http://linked.open...avai/riv/aktivity	I, P(GA402/09/0965), S
http://linked.open...iv/cisloPeriodika	23
http://linked.open...vai/riv/dodaniDat	2014
http://linked.open...aciTvurceVysledku	Kukačka, Jiří Baruník, Jozef
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Univerzita Karlova v Praze / Fakulta sociálních věd
http://linked.open...dnocenehoVysledku	63044
http://linked.open...ai/riv/idVysledku	RIV/00216208:11230/13:10139544
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	stock market crash; market sentiment; overconfidence; herding; behavioural finance; heterogeneous agent model (en)
http://linked.open.../riv/klicoveSlovo	behavioural finance overconfidence stock market crash herding heterogeneous agent model market sentiment
http://linked.open...odStatuVydavatele	NL - Nizozemsko
http://linked.open...ontrolniKodProRIV	[62923C1406AA]
http://linked.open...i/riv/nazevZdroje	Physica A: Statistical Mechanics and its Applications
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	2 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...vavai/riv/projekt	New Approaches to Monitoring and Forecasting Financial Markets
http://linked.open...UplatneniVysledku	2013
http://linked.open...v/svazekPeriodika	392
http://linked.open...iv/tvurceVysledku	Kukačka, Jiří Baruník, Jozef
http://linked.open...ain/vavai/riv/wos	000326772200015
issn	0378-4371
number of pages	19 (xsd:int)
http://bibframe.org/vocab/doi	10.1016/j.physa.2013.07.050
http://localhost/t...ganizacniJednotka	11230

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