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Simulating Stock Markets: Risk-Aversion as a Cognitive Bias

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Abstract

This paper analyzes market implications of behavioral nance by means of a representative agent model of fnancial market. The goal is to provide a model as tool for studying the emergence of behavioral market anomalies. We aim to show that such model can contribute to behavioral finance research by demonstrating if and to what extent risk-aversion can be used as a substitute of individual biases in determining market anomalies.

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  • Fusillo, Fabrizio, 2015. "Simulating Stock Markets: Risk-Aversion as a Cognitive Bias," Department of Economics and Statistics Cognetti de Martiis. Working Papers 201527, University of Turin.
    • Handle: RePEc:uto:dipeco:201527
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