1,720,956 research outputs found
Behavioural Biases and Agent-based Asset Price Modelling
No full textThe price, return and volume series of virtually all traded financial assets share a set of commonly observed statistical characteristics known as the stylized facts of financial data. In the last two decades, a body of literature has developed, attempting to explain these stylized facts as emerging properties from the interaction of a large number of heterogeneous market participants. Thepresent thesis contributes to the literature on heterogeneous agent-based asset pricing models, that is, the computational study of financial markets as evolving systems of interacting agents.Taking a prominent agent-based model (Franke and Westerhoff (2012)) as an example, we observe that its price series violates one of the core properties of real financial time series - its non-stationarity. We overcome this problem by extending the original model and drastically reduce the non-stationarity of the price series generated. Next, we estimate the model's parameters andevaluate the new setting, showing it is able to match a very rich set of stylized facts observed in real financial markets.Now, a well defined agents-based asset pricing model able to match the widely observed properties of financial time series is valuable for testing the implications of various biases associated with investors' behaviour. In this context, we present two new behavioural asset pricing models. First, we define a setting where agents suffer from the disposition effect and test the implications of this behavioural bias on investors' interactions and price settings. We demonstrate that it has a direct impact on the returns series produced by the model, altering important stylized facts such as its heavy tails and volatility clustering. Moreover, we show that the horizon over which investors compute their wealth has no effect on the dynamics produced by the model.Second, we present a new behavioural model of asset pricing where the agents are loss averse, and evaluate its implications. On the one hand, measuring how close the simulated time series are to its empirical counterparts, we show that the model with loss aversion better matches and explains the properties of real-world financial data, compared with the base model without the behavioural bias. On the other hand, we assess the impact of different levels of loss aversion not only on the agents' switching mechanism, but also on the properties of the time series generated by the model. We demonstrate how for different levels of the loss aversion parameter, the biased agents tend to be driven out of the market at different points in time. Since even the simplest strategies have been shown to survive the competition in an agent-based setting, we can link our findings with the behavioural finance literature, which states that investors' systematic biases lead to unexpected market behaviour, instabilities and errors.Finally, we define a further behavioural heterogeneous agent-based asset pricing model with regret and analyse the implications of this behavioural bias on the model's dynamics. We study the coexistence of locally stable attractors of the corresponding nonlinear deterministic system, one of the most common and generic mechanisms for generating important properties observed in real financial markets. By incorporating regret in agents' expectations, we demonstrate that it can destabilise the price series and change a low volatility market regime into a highly volatile one. Consequently, we show that a change in investors' psychology contributes to the emergence of interesting new properties and that regret has the potential to explain key aspects of financialmarkets
Avoiding regret in an agent-based asset pricing model
No full textWe use an agent-based asset pricing model to test the implications of the disposition effect (avoiding regret) on investors’ interactions and price settings. We show that it has a direct impact on the returns series produced by the model, altering important stylized facts such as its heavy tails and volatility clustering. Moreover, we show that the horizon over which investors compute their wealth has no effect on the dynamics produced by the model
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Full text linkWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
koamabayili/VECTRON-author-checklist: VECTRON author checklist
No full textWe have done our best to complete the author checklist relating to the use of animals in the hut study. Note that the objective for the hut study was to evaluate the IRS treatment applications for residual efficacy against Anopheles mosquitoes, including the local An. coluzzii mosquito population. Cows were only used to attract mosquitoes into the huts and no tests were carried out directly on the cows. The author checklist is intended for use with studies where experiments are carried out on animals, which is why we have had such difficulty in completing this for the hut study, as many of the questions do not relate to how the cows were used
Author-wise bibliometric analysis based on entropy.
No full textAuthor-wise bibliometric analysis based on entropy.</p
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