Matches in SemOpenAlex for { <https://semopenalex.org/work/W4301035068> ?p ?o ?g. }
Showing items 1 to 76 of
76
with 100 items per page.
- W4301035068 abstract "We present a simple agent-based model to study the development of a bubble and the consequential crash and investigate how their proximate triggering factor might relate to their fundamental mechanism, and vice versa. Our agents invest according to their opinion on future price movements, which is based on three sources of information, (i) public information, i.e. news, (ii) information from their friendship network and (iii) private information. Our bounded rational agents continuously adapt their trading strategy to the current market regime by weighting each of these sources of information in their trading decision according to its recent predicting performance. We find that bubbles originate from a random lucky streak of positive news, which, due to a feedback mechanism of these news on the agents' strategies develop into a transient collective herding regime. After this self-amplified exuberance, the price has reached an unsustainable high value, being corrected by a crash, which brings the price even below its fundamental value. These ingredients provide a simple mechanism for the excess volatility documented in financial markets. Paradoxically, it is the attempt for investors to adapt to the current market regime which leads to a dramatic amplification of the price volatility. A positive feedback loop is created by the two dominating mechanisms (adaptation and imitation) which, by reinforcing each other, result in bubbles and crashes. The model offers a simple reconciliation of the two opposite (herding versus fundamental) proposals for the origin of crashes within a single framework and justifies the existence of two populations in the distribution of returns, exemplifying the concept that crashes are qualitatively different from the rest of the price moves." @default.
- W4301035068 created "2022-10-04" @default.
- W4301035068 creator A5020741235 @default.
- W4301035068 creator A5057002364 @default.
- W4301035068 date "2008-06-18" @default.
- W4301035068 modified "2023-09-27" @default.
- W4301035068 title "How to grow a bubble: A model of myopic adapting agents" @default.
- W4301035068 doi "https://doi.org/10.48550/arxiv.0806.2989" @default.
- W4301035068 hasPublicationYear "2008" @default.
- W4301035068 type Work @default.
- W4301035068 citedByCount "0" @default.
- W4301035068 crossrefType "posted-content" @default.
- W4301035068 hasAuthorship W4301035068A5020741235 @default.
- W4301035068 hasAuthorship W4301035068A5057002364 @default.
- W4301035068 hasBestOaLocation W43010350681 @default.
- W4301035068 hasConcept C102235558 @default.
- W4301035068 hasConcept C106159729 @default.
- W4301035068 hasConcept C121332964 @default.
- W4301035068 hasConcept C126388530 @default.
- W4301035068 hasConcept C15744967 @default.
- W4301035068 hasConcept C162324750 @default.
- W4301035068 hasConcept C175444787 @default.
- W4301035068 hasConcept C177605951 @default.
- W4301035068 hasConcept C183469790 @default.
- W4301035068 hasConcept C186797051 @default.
- W4301035068 hasConcept C197640229 @default.
- W4301035068 hasConcept C199360897 @default.
- W4301035068 hasConcept C201543015 @default.
- W4301035068 hasConcept C205649164 @default.
- W4301035068 hasConcept C38652104 @default.
- W4301035068 hasConcept C41008148 @default.
- W4301035068 hasConcept C556758197 @default.
- W4301035068 hasConcept C62520636 @default.
- W4301035068 hasConcept C77805123 @default.
- W4301035068 hasConcept C91602232 @default.
- W4301035068 hasConcept C97137747 @default.
- W4301035068 hasConcept C99221444 @default.
- W4301035068 hasConceptScore W4301035068C102235558 @default.
- W4301035068 hasConceptScore W4301035068C106159729 @default.
- W4301035068 hasConceptScore W4301035068C121332964 @default.
- W4301035068 hasConceptScore W4301035068C126388530 @default.
- W4301035068 hasConceptScore W4301035068C15744967 @default.
- W4301035068 hasConceptScore W4301035068C162324750 @default.
- W4301035068 hasConceptScore W4301035068C175444787 @default.
- W4301035068 hasConceptScore W4301035068C177605951 @default.
- W4301035068 hasConceptScore W4301035068C183469790 @default.
- W4301035068 hasConceptScore W4301035068C186797051 @default.
- W4301035068 hasConceptScore W4301035068C197640229 @default.
- W4301035068 hasConceptScore W4301035068C199360897 @default.
- W4301035068 hasConceptScore W4301035068C201543015 @default.
- W4301035068 hasConceptScore W4301035068C205649164 @default.
- W4301035068 hasConceptScore W4301035068C38652104 @default.
- W4301035068 hasConceptScore W4301035068C41008148 @default.
- W4301035068 hasConceptScore W4301035068C556758197 @default.
- W4301035068 hasConceptScore W4301035068C62520636 @default.
- W4301035068 hasConceptScore W4301035068C77805123 @default.
- W4301035068 hasConceptScore W4301035068C91602232 @default.
- W4301035068 hasConceptScore W4301035068C97137747 @default.
- W4301035068 hasConceptScore W4301035068C99221444 @default.
- W4301035068 hasLocation W43010350681 @default.
- W4301035068 hasLocation W43010350682 @default.
- W4301035068 hasOpenAccess W4301035068 @default.
- W4301035068 hasPrimaryLocation W43010350681 @default.
- W4301035068 hasRelatedWork W1535719876 @default.
- W4301035068 hasRelatedWork W2084991931 @default.
- W4301035068 hasRelatedWork W2110889994 @default.
- W4301035068 hasRelatedWork W2184851736 @default.
- W4301035068 hasRelatedWork W2889640981 @default.
- W4301035068 hasRelatedWork W2954200161 @default.
- W4301035068 hasRelatedWork W3123255421 @default.
- W4301035068 hasRelatedWork W3151419234 @default.
- W4301035068 hasRelatedWork W3201152790 @default.
- W4301035068 hasRelatedWork W3093865196 @default.
- W4301035068 isParatext "false" @default.
- W4301035068 isRetracted "false" @default.
- W4301035068 workType "article" @default.