Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/177896 
Year of Publication: 
2018
Citation: 
[Journal:] Economics: The Open-Access, Open-Assessment E-Journal [ISSN:] 1864-6042 [Volume:] 12 [Issue:] 2018-20 [Publisher:] Kiel Institute for the World Economy (IfW) [Place:] Kiel [Year:] 2018 [Pages:] 1-21
Publisher: 
Kiel Institute for the World Economy (IfW), Kiel
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 the risk aversion has, counterintuitively, the opposite effect.
Subjects: 
order book
learning to forecast
risk aversion
agent-based models
JEL: 
E44
E47
C63
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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