Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/171971
Authors: 
Biondo, Alessio Emanuele
Year of Publication: 
2017
Series/Report no.: 
Economics Discussion Papers 2017-104
Abstract: 
This paper presents a simulative model of a financial market, based on a fully operating order book with limit and market orders. The heterogeneity of traders is characterized not only with regards to their trading rules, but also by introducing a behavioral individual risk aversion and a learning ability influencing the process of expectations formation. Results show that individual learning may play a role in stabilizing the aggregate market dynamics, whereas risk aversion can, counterintuitively, have perverse consequences on it.
Subjects: 
order book
learning to Forecast
risk aversion
agent based models
JEL: 
E44
E47
C63
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Working Paper

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