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Adaptive Behavior and Strategy Switching

Author

Listed:
  • Wei Zhang

    (College of Management and Economics, Tianjin University, No. 92, Weijin Road, Nankai District, Tianjin 300072, China;
    China Center for Social Computing and Analytics, Tianjin University, No. 92, Weijin Road, Nankai District, Tianjin 300072, China)

  • Ziqiang Wu

    (College of Management and Economics, Tianjin University, No. 92, Weijin Road, Nankai District, Tianjin 300072, China)

  • Yongjie Zhang

    (College of Management and Economics, Tianjin University, No. 92, Weijin Road, Nankai District, Tianjin 300072, China;
    China Center for Social Computing and Analytics, Tianjin University, No. 92, Weijin Road, Nankai District, Tianjin 300072, China)

  • Xiong Xiong

    (College of Management and Economics, Tianjin University, No. 92, Weijin Road, Nankai District, Tianjin 300072, China;
    China Center for Social Computing and Analytics, Tianjin University, No. 92, Weijin Road, Nankai District, Tianjin 300072, China)

Abstract

Using the Agent-based Computational Finance (ACF) method, we build an artificial stock market with heterogeneous adaptive investors and investigate the evolutionary and interacting relationship between rational investors and irrational investors. We find that with strategy switching, there is a symbiosis among the three kinds of investors in the ACF experiments, although the rational investors are often dominant in the market. And our main findings are robust with agents' scale. When the initial values change, the market ecology achieves new equilibrium.

Suggested Citation

  • Wei Zhang & Ziqiang Wu & Yongjie Zhang & Xiong Xiong, 2014. "Adaptive Behavior and Strategy Switching," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 13(03), pages 567-584.
    • Handle: RePEc:wsi:ijitdm:v:13:y:2014:i:03:n:s0219622014500503
    DOI: 10.1142/S0219622014500503
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    References listed on IDEAS

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    1. Robert J. Shiller, 1987. "Investor Behavior in the October 1987 Stock Market Crash: Survey Evidence," NBER Working Papers 2446, National Bureau of Economic Research, Inc.
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    Cited by:

    1. Ji, Jingru & Wang, Donghua & Xu, Dinghai, 2019. "Modelling the spreading process of extreme risks via a simple agent-based model: Evidence from the China stock market," Economic Modelling, Elsevier, vol. 80(C), pages 383-391.
    2. Ruwei Zhao & Xiong Xiong & Dehua Shen & Wei Zhang, 2019. "Investor Structure and Stock Price Crash Risk in a Continuous Double Auction Market: An Agent-Based Perspective," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 18(02), pages 695-715, March.

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