Modeling the effects of the behavioral biases of investors in Tehran Stock Exchange in heterogeneous agent model and its Optimization
Quarterly Journal of Securities Exchange

Quarterly Journal of Securities Exchange

Modeling the effects of the behavioral biases of investors in Tehran Stock Exchange in heterogeneous agent model and its Optimization

Document Type : Original Article

Authors
esmaeel keshtkar tiola 1
MohammadHassan Gholizadeh 2
Reza Aghajan Nashtaei 3
1 PhD Student, Department of Management, Rasht Branch, Islamic Azad University, Rasht, Iran
2 Associate Prof, Department of Management, university of guilan, Rasht, Iran
3 Assistant Professor ,Department of Business Management, Rasht Branch, Islamic Azad University, Rasht, Iran
10.22034/jse.2022.11915.1943
Abstract
The study of the effects of different strategies and beliefs of investors on stock prices has always been considered by researchers and market participants.The purpose of this article is Modeling the effects of behavioral biases of investors in Tehran Stock Exchange in heterogeneous agent model and and the Optimization of using PSO Algorithm.To do the research first we determine the crices point and the crash of stock exchange based on the trend of index changes, the market value and trades value. The fundamental price and the market price, 40 days before and after the crisis was determined.I also used PSO Algorithm to optimize the output data in simulated process and at the end comparing the simulated price with the real market data I analyzed the model ability to explain the investors behavior at the crisis.The results of the research showed that the negative market sentiment act as the most important Behavioral agent to explain the stock price behavior at Tehran Stock market crash.
Keywords
heterogeneous agent model
PSO Algorithm
over confidence
market sentiment
simulation
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Quarterly Journal of Securities Exchange
Volume 16, Issue 61
Spring 2023
Pages 303-330