Number of items: 1.
Article
Palczewski, Jan,
Schenk-Hoppé, Klaus and
Wang, Tongya
(2016)
Itchy Feet vs Cool Heads: Flow of Funds in an Agent-based Financial Market’.
Journal of Economic Dynamics and Control, 63.
pp. 53-68.
Link to full text available through this repository.
- Abstract
Investors tend to move funds when they are unhappy with their current portfolio managers' performance. We study the effect of the size of this flow of funds in an agent-based model of the financial market. The model combines the discrete choice approach from agent-based modelling, where all capital is mobile, with the evolutionary finance framework where all growth is endogenous. Our results show that a small amount of freely flowing capital can have a huge impact on the market dynamics. In contrast to the standard model, moreover, clients' intensity of choice has a strong effect even when they exhibit only a very mild recency bias.
- Item type
- Article
- Subject(s)
- Finance
- Uncontrolled keywords
- Portfolio management, agent-based financial market, evolutionary finance, flow of funds, finance
- Centre
- UNSPECIFIED
This list was generated on Fri Dec 13 01:15:32 2019 UTC.