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Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
Economics Discussion Papers No. 2017-104
Verlag: 
Kiel Institute for the World Economy (IfW), Kiel
Zusammenfassung: 
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.
Schlagwörter: 
order book
learning to Forecast
risk aversion
agent based models
JEL: 
E44
E47
C63
Creative-Commons-Lizenz: 
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Dokumentart: 
Working Paper

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