Analyzing the influence of overconfident investors on financial markets through agent-based model

Authors:
Hiroshi Takahashi;Takao Terano
Affiliations:
Graduate School of Humanities and Social Sciences, Okayama University, Okayama-city, Japan;Graduate School of Humanities and Social Sciences, Okayama University, Okayama-city, Japan
Venue:
IDEAL'07 Proceedings of the 8th international conference on Intelligent data engineering and automated learning
Year:
2007

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Abstract

In this research, we employ Agent-Based Model to analyze how asset prices are affected by investors' Behavior. This analysis places focus on the influence of overconfident investors on financial market. As a result of intensive analysis, we find that overconfident investors are generated in a bottom-up fashion in the market. Furthermore, it has also been found that overconfident investors have the ability to contribute to market efficiency.