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Selected Works of Sergio Da Silva
Article
Prospect Theory to the Disposition Effect in an Agent-Based Model of the Stock Market
Empirical Economics Letters (2018)
  • Elder Mauricio Silva
  • Newton Da Costa Jr
  • Sergio Da Silva, Federal University of Santa Catarina
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Abstract
We take the key equation of cumulative prospect theory and simulate its
parameters from an agent-based model of the stock market. We show how the
disposition effect emerges numerically in an alternative and complementary way to
what is found in the literature using analytical methods.
Disciplines
Publication Date
2018
Citation Information
Elder Mauricio Silva, Newton Da Costa Jr and Sergio Da Silva. "Prospect Theory to the Disposition Effect in an Agent-Based Model of the Stock Market" Empirical Economics Letters Vol. 17 Iss. 4 (2018) p. 521 - 525 ISSN: 1681-8997
Available at: http://works.bepress.com/sergiodasilva/185/