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- W47886469 abstract "In this paper, we investigate bubble and crash in the artificial financial market. Based on Ball and Holt (1998)’s experiment in the laboratory with real human beings, we create a simple artificial financial market using an agent-based simulation. In this simulation, we model each agent with different characteristics with respect to expectation formation and time discounting. We found that the case of prospect theory plus exponential time discounting is most resemble with the price dynamics found in Ball and Holt’s experiment and real world price bubble and crash. We also examine whether Ball and Holt’s and our experiment are really judged as a bubble and crush with some indexes so far proposed. Then, Ball and Holt’ experimental result is judged not as a price bubble but as a divergent oscillation, while our result is judged as a bubble." @default.
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- W47886469 date "2009-01-01" @default.
- W47886469 modified "2023-09-28" @default.
- W47886469 title "Bubble and Crash in the Artificial Financial Market" @default.
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- W47886469 doi "https://doi.org/10.1007/978-3-642-02956-1_13" @default.
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