This research utilizes the Agent-Based Model to clarify microscopic and macroscopic links between investor behavior and price fluctuations in the financial market. This analysis places focus on the role that investors’ overconfidence plays in the financial market. As a result of this analysis, it has been found that overconfident investors are generated in a bottomup fashion in the market.

Empirical studies have analyzed how investors trade and perform in the financial markets. The studies show that rational trading needs do not explain the excessive manner of trading shown by the investors. Theoretical models offer overconfidence as one of the explanations for irrational trading behavior. Overconfidence is a psychological trait, argued to cause the investors to misinterpret usef...

The presence of bubbles in the markets and its formation has been regarded by economists and they have been looking to develop methods that can be recognized by using appropriate method for the formation of bubbles. In this paper, first, the formation of bubbles is tested using the new unit root test known as Phillips test (Generalized Sup ADF test) for 50 companies in the Tehran Stock Exchange...

In the present paper, by applying the theory of stochastic processes and interacting particle systems and models, including stopping time theory and stochastic voter model, we model a financial stock price model that contains two types of investors, and we use this financial model to describe the behavior and fluctuations of a stock price process in a stock market. In the financial model, besid...

in this study, provided preliminary evidence on a comprehensive program of study focusing on investors’ behavior in the tehran stock exchange (tse) in 2014. using a survey-based methodology, 561 investors from the tse representing individual investors, mutual fund experts, funding institutions experts, institutional investors, and stock brokers have been randomly selected to respond to a set of...

A prominent idea in behavioral …nance is that individuals have some propensity to make correlated mistakes in their investment decisions. The leading critique of this idea is that investors who make systematic mistakes su¤er a utility cost and should be expected to alter their behavior. In this paper we present a noisy rational expectations model in which investors decide whether or to what deg...

Finding ways to encourage investments in renewable electricity production is crucial to reach a transition to a sustainable energy system. While in the energy policy literature, investments are usually explained by economic or regulatory policies, recent studies have suggested that some investors are boundedly rational and may respond differently to policies. In this paper, a framework is propo...

Financial crises are widely argued to be due to herd behavior. Yet recently developed models of herd behavior have been subjected to two critiques which seem to make them inapplicable to financial crises. Herds disappear from these models if two of their unappealing assumptions are modified: if their zero-one investment decisions are made continuous and if their investors are allowed to trade a...

By building a game model between the institutional investors and the management, an analysis has been conducted to uncover the influential factors that are crucial to the role switching of institutional investors when confronting tunneling behaviors of the management: supervision cost, shareholding ratio, invisible income, fines and patience. In cases of lower supervision cost, higher sharehold...

In this paper, we show that large inflows into commodity investments, a recent phenomenon known as financialization, has changed the behavior and dependence structure between commodities and the general stock market. The common perception is that the increase in comovements is the result of distressed investors selling both assets during the 2007-2009 financial crisis. We show that financial di...