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dc.contributor.authorBertella, Mario A.en_US
dc.contributor.authorPires, Felipe R.en_US
dc.contributor.authorRego, Henio H.A.en_US
dc.contributor.authorSilva, Jonathas N.en_US
dc.contributor.authorVodenska, Irenaen_US
dc.contributor.authorStanley, H. Eugeneen_US
dc.date.accessioned2019-11-13T14:44:55Z
dc.date.available2019-11-13T14:44:55Z
dc.date.issued2017-02-23
dc.identifierhttp://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000394682400031&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=6e74115fe3da270499c3d65c9b17d654
dc.identifier.citationBertella 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
dc.identifier.issn1932-6203
dc.identifier.urihttps://hdl.handle.net/2144/38488
dc.description.abstractUsing 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.en_US
dc.description.sponsorshipThis work was supported by grant number: 2014/19534-8, URL: http://www.fapesp.br/, Fundacao de Amparo a Pesquisa do Estado de Sao Paulo, MAB; and grant number: 1267846, URL: http://www.capes.gov.br/, Coordenacao de Aperfeicoamento de Pessoal de Nivel Superior, JNS. (2014/19534-8 - Fundacao de Amparo a Pesquisa do Estado de Sao Paulo; 1267846 - Coordenacao de Aperfeicoamento de Pessoal de Nivel Superior)en_US
dc.languageEnglish
dc.publisherPUBLIC LIBRARY SCIENCEen_US
dc.relation.ispartofPLOS ONE
dc.rightsCopyright: © 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.en_US
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/
dc.subjectBiasen_US
dc.subjectCommerceen_US
dc.subjectComputer simulationen_US
dc.subjectDecision makingen_US
dc.subjectEconomics, behavioralen_US
dc.subjectHumansen_US
dc.subjectInvestmentsen_US
dc.subjectModels, economicen_US
dc.titleConfidence and self-attribution bias in an artificial stock marketen_US
dc.typeArticleen_US
dc.description.versionPublished versionen_US
dc.identifier.doi10.1371/journal.pone.0172258
pubs.elements-sourceweb-of-scienceen_US
pubs.notesEmbargo: Not knownen_US
pubs.organisational-groupBoston Universityen_US
pubs.organisational-groupBoston University, College of Arts & Sciencesen_US
pubs.organisational-groupBoston University, College of Arts & Sciences, Department of Physicsen_US
pubs.organisational-groupBoston University, Metropolitan Collegeen_US
pubs.publication-statusPublisheden_US
dc.identifier.orcid0000-0003-1183-7941 (Vodenska, Irena)
dc.identifier.mycv182296


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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.
Except where otherwise noted, this item's license is described as 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.