DocumentCode
434589
Title
A system theoretic approach to behavioral finance
Author
Gerencsér, László ; Mátyás, Zalán
Author_Institution
Comput. & Autom. Inst., Hungarian Acad. of Sci., Budapest, Hungary
Volume
1
fYear
2004
fDate
14-17 Dec. 2004
Firstpage
335
Abstract
The purpose of this paper is to study a particular example of a feedback system modelling the behavior of agents in financial markets. The agent´s decision is based on his beliefs of the price dynamics and his behavior reflecting his attitude, such as risk aversion or risk preference. The convergence of the resulting iterative procedure is examined. A data driven stochastic approximation procedure for estimating the price dynamics is suggested. Simulation results for various behaviors are also presented.
Keywords
feedback; iterative methods; pricing; stochastic processes; stock markets; behavioral finance; data driven stochastic approximation procedure; feedback system; financial markets; iterative procedure; price dynamics; risk aversion; risk preference; system theoretic approach; Closed loop systems; Convergence; Economic forecasting; Feedback; Finance; Macroeconomics; Modeling; Predictive models; Stochastic processes; Stock markets;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 2004. CDC. 43rd IEEE Conference on
ISSN
0191-2216
Print_ISBN
0-7803-8682-5
Type
conf
DOI
10.1109/CDC.2004.1428652
Filename
1428652
Link To Document