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- W3123575881 abstract "In the paper, I simulate the games with a joint presence of 95% VaR-rule and return-rule groups of agents. Simulations highlighted the level of omniscience, next being the rule, which agents follow at the decision-making, and the third the presence of liquidity agents in the game. Omniscient agents make different decisions than non-omniscient agents with non-omniscient return-rule agents performed a little better than the omniscient return-rule agents did, and omniscient VaR-rule agents performed slightly better than non-omniscient VaR-rule agents did. VaR-rule agents clearly outperform return-rule agents, with omniscient return-rule agents performing the worst. The role of liquidity agents has proved to be very significant with none of the two observed performed worst in the neither case." @default.
- W3123575881 created "2021-02-01" @default.
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- W3123575881 date "2009-01-01" @default.
- W3123575881 modified "2023-09-25" @default.
- W3123575881 title "VALUE-AT-RISK VERSUS NON VALUE-AT-RISK TRADERS" @default.
- W3123575881 hasPublicationYear "2009" @default.
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