|
|
Ego-utility and endogenous information acquisition: an experimental study
Miklánek, Tomáš
This paper examines endogenous decisions to acquire useful information. My experimental design tries to test predictions of ego-utility theories and other relevant theories about the decision-making process of agents in the environment with costless signals. Only slightly more than half of the subjects acquired an optimal number of the signals for payoff maximization. The results suggest that for the subjects making sub-optimal decisions, aversion to cognitive dissonance is the prevalent channel. Contrary to this, I find much less support for the ego-utility theory and theory of information ignorance in my setting. The availability of information alone does not automatically lead to an improvement in decisions.
|
|
|
Behavioural Breaks in the Heterogeneous Agent Model
Kukačka, Jiří ; Baruník, Jozef (advisor) ; Víšek, Jan Ámos (referee)
This thesis merges the fields of Heterogeneous Agent Models (HAMs) and Be- havioural Finance in order to bridge the main deficiencies of both approaches and to examine whether they can complement one another. Our approach suggests an alternative tool for examining HAM price dynamics and brings an original way of dealing with problematic empirical validation. First, we present the original model and discuss various extensions and attempts at empirical estimation. Next, we develop a unique benchmark dataset, covering five par- ticularly turbulent U.S. stock market periods, and reveal an interesting pattern in this data. The main body applies a numerical analysis of the HAM extended with the selected Behavioural Finance findings: herding, overconfidence, and market sentiment. Using Wolfram Mathematica we perform Monte Carlo simu- lations of a developed algorithm. We show that the selected findings can be well modelled via the HAM and that they extend the original HAM considera- bly. Various HAM modifications lead to significantly different results and HAM is also able to partially replicate price behaviour during turbulent stock market periods. Bibliographic Record Kukačka, J. (2012): Behavioural Breaks in the Heterogeneous Agent Model. Rigorous thesis, Charles University in Prague, Faculty of Social...
|
|
|
Behavioural Breaks in the Heterogeneous Agent Model
Kukačka, Jiří ; Baruník, Jozef (advisor) ; Víšek, Jan Ámos (referee)
This thesis merges the fields of Heterogeneous Agent Models (HAMs) and Be- havioural Finance in order to bridge the main deficiencies of both approaches and to examine whether they can complement one another. Our approach suggests an alternative tool for examining HAM price dynamics and brings an original way of dealing with problematic empirical validation. First, we present the original model and discuss various extensions and attempts at empirical estimation. Next, we develop a unique benchmark dataset, covering five par- ticularly turbulent U.S. stock market periods, and reveal an interesting pattern in this data. The main body applies a numerical analysis of the HAM extended with the selected Behavioural Finance findings: herding, overconfidence, and market sentiment. Using Wolfram Mathematica we perform Monte Carlo sim- ulations of a developed algorithm. We show that the selected findings can be well modelled via the HAM and that they extend the original HAM consider- ably. Various HAM modifications lead to significantly different results and HAM is also able to partially replicate price behaviour during turbulent stock market periods. Bibliographic Record Kukačka, J. (2011): Behavioural Breaks in the Heterogeneous Agent Model. Master thesis, Charles University in Prague, Faculty of Social Sciences,...
|
guest ::
