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Cognitive Bias, ABM and Emergence of China Stock Market

  • Guo-cheng WangEmail author
Conference paper
  • 1.5k Downloads
Part of the Proceedings in Adaptation, Learning and Optimization book series (PALO, volume 1)

Abstract

Why, what and how real behavior(s) should be incorporated into ABM (Agent-Based Modeling), and is it appropriate and effective to use ABM with HS-CA collaboration and micro-macro link features for complex economy/finance analysis? Through deepening behavioral analysis and using computational experimental methods incorporating HS (Human Subject) into CA (Computational Agent), which is extended ABM, based on the theory of behavioral finance and complexity science as well, we constructed a micro-macro integrated model with the key behavioral characteristics of investors as an experimental platform to cognize the conduction mechanism of complex capital market and typical phenomena in this paper, and illustrated briefly applied cases including the internal relations between impulsive behavior and the fluctuation of stock’s, the asymmetric cognitive bias and volatility cluster, deflective peak and fat-tail of China stock market.

Keywords

Cognitive Bias of Investors Behavioral Macro-financial Model ABM 

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Copyright information

© Springer International Publishing Switzerland 2015

Authors and Affiliations

  1. 1.Institute of Quantitative & Technical Economics (IQTE)Chinese Academy of Social Sciences (CASS)BeijingChina

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