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    Confidence and self-attribution bias in an artificial stock market

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    Copyright: © 2017 Bertella et al. This is an open access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.
    Date Issued
    2017-02-23
    Publisher Version
    10.1371/journal.pone.0172258
    Author(s)
    Bertella, Mario A.
    Pires, Felipe R.
    Rego, Henio H.A.
    Silva, Jonathas N.
    Vodenska, Irena
    Stanley, H. Eugene
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    Permanent Link
    https://hdl.handle.net/2144/38488
    Version
    Published version
    Citation (published version)
    Bertella MA, Pires FR, Rego HHA, Silva JN, Vodenska I, Stanley HE (2017) Confidence and self-attribution bias in an artificial stock market. PLoS ONE 12(2): e0172258. https://doi.org/10.1371/journal.pone.0172258
    Abstract
    Using an agent-based model we examine the dynamics of stock price fluctuations and their rates of return in an artificial financial market composed of fundamentalist and chartist agents with and without confidence. We find that chartist agents who are confident generate higher price and rate of return volatilities than those who are not. We also find that kurtosis and skewness are lower in our simulation study of agents who are not confident. We show that the stock price and confidence index—both generated by our model—are cointegrated and that stock price affects confidence index but confidence index does not affect stock price. We next compare the results of our model with the S&P 500 index and its respective stock market confidence index using cointegration and Granger tests. As in our model, we find that stock prices drive their respective confidence indices, but that the opposite relationship, i.e., the assumption that confidence indices drive stock prices, is not significant.
    Rights
    Copyright: © 2017 Bertella et al. This is an open access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.
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    • MET: Scholarly Works [135]
    • CAS: Physics: Scholarly Papers [356]
    • BU Open Access Articles [3730]


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