Navigating the Stock Market: Modeling Wealth Exchange and Network Interaction with Loss Aversion, Disposition Effect and Anchoring and Adjustment Bias

Ömür Saltık

doi:10.30784/epfad.1435009

Araştırma Makalesi

Hisse Senedi Piyasasında Yön Bulma: Kayıptan Kaçınma, Eğilim Etkisi ve Çapa ve Ayarlama Yanlılığı ile Zenginlik Değişimi ve Ağ Etkileşimi Modellemesi

Yıl 2024, Cilt: 9 Sayı: 1, 88 - 122, 29.03.2024

Ömür Saltık

https://doi.org/10.30784/epfad.1435009

Öz

Bu çalışma, ajan tabanlı modellere meta-analizi entegre etmeyi ve yanlı ajan etkileşimlerine dair temel içgörüler sunmayı amaçlamaktadır. Çapa, mülkiyet etkisi, kayıptan kaçınma ve diğer çeşitli davranışsal yanlılıkların piyasa dinamikleri ve yatırımcı kararları üzerindeki etkisini derinlemesine incelenmektedir. Ajan tabanlı modeller kullanarak, piyasa senaryoları ve yatırımcı davranışlarının simülasyonlarını sunmakta ve bireysel kararların piyasa dinamikleri üzerindeki etkisini vurgulanmaktadır. Çalışmanın yenilikçi yaklaşımı, davranışsal finans teorilerini gerçek piyasa verileriyle bütünleştirmesinde yatmakta ve piyasa davranışlarının nüanslı bir analizini sunmaktadır. Bu çalışma, davranışsal finansa yeni bir perspektif katmakta ve piyasa dinamikleri ile yatırımcı davranışlarının daha iyi anlaşılması için ajan tabanlı modellerin kullanımını teşvik etmektedir, bu da finansal piyasa analizi ve politika oluşturmada yardımcı olabilir. Çalışma, meta-analizi ajan tabanlı modellere entegre etmek isteyen ve yanlı ajan davranışlarını incelemeyi sağlayacak temel bir altyapı sunmayı hedeflemektedir. Çalışmanın bulguları, ajanların sosyo-demografik ve psikolojik faktörlerini dikkate alarak, kayıp kaçınımı, mülkiyet etkisi ve çapa ve ayarlama yanlılığının etkileşimlerini gerçek dünyaya en yakın şekilde modellenebildiğini göstermektedir. Sonuçlar, insan davranışlarının portföy optimizasyonlarında daha doğru modellenebilmesine ve Genelleştirilmiş Yapay Zeka'nın finansal piyasalara yönelik uygulamalarının genişletilmesine yönelik uygulamalarda oldukça elverişli öngörüler sunmaktadır.

Anahtar Kelimeler

Kayıptan Kaçınma, Eğilim Etkisi, Çapa ve Ayarlama Yanlılığı, Ajan Temelli Modelleme

Kaynakça

Arora, M. and Kumari, S. (2015). Risk taking in financial decisions as a function of age, gender: Mediating role of loss aversion and regret. International Journal of Applied Psychology, 5(4), 83-89. doi: 10.5923/j.ijap.20150504.01
Arora, R. and Rajendran, M. (2023). Moored minds: An experimental insight into the impact of the anchoring and disposition effect on portfolio performance. Journal of Risk and Financial Management, 16(8), 349-371. https://doi.org/10.3390/jrfm16080349
Asadi, D., Davallou, M. and Eskini, S. (2020). Adjustment and anchoring or disposition effect; Evidence of momentum pattern. Journal of Financial Management Perspective, 29, 9-37. doi:10.52547/JFMP.10.29.9
Bankes, S.C. (2002). Agent-based modeling: A revolution? Proceedings of the National Academy of Sciences, 99, 7199-7200. https://doi.org/10.1073/pnas.072081299
Barber, B.M. and Odean, T. (2001). Boys will be boys: Gender, overconfidence, and common stock investment. The Quarterly Journal of Economics, 116(1), 261-292. http://dx.doi.org/10.2139/ssrn.139415
Blake, D., Cannon, E. and Wright, D. (2021). Quantifying loss aversion: Evidence from a UK population survey. Journal of Risk and Uncertainty, 63(1), 27-57. http://dx.doi.org/10.2139/ssrn.3552247
Blumer, H. (1986). Symbolic interactionism: Perspective and method. London: University of California Press.
Bokhari, S. and Geltner, D. (2011). Loss aversion and anchoring in commercial real estate pricing: Empirical evidence and price index implications. Real Estate Economics, 39(4), 635-670. https://doi.org/10.1111/j.1540-6229.2011.00308.x
Bourdieu, P. (1986). The forms of capital. In J. Richardson (Ed.), Handbook of theory and research for the sociology of education (pp.15-29). Westport: Greenwood.
Boyce, C.J., Wood, A.M., Banks, J., Clark, A.E. and Brown, G.D. (2013). Money, well-being, and loss aversion: Does an income loss have a greater effect on well-being than an equivalent income gain? Psychological Science, 24(12), 2557-2562. doi:10.1177/0956797613496436
Boyce, C.J., Wood, A.M. and Ferguson, E. (2016). Individual differences in loss aversion: Conscientiousness predicts how life satisfaction responds to losses versus gains in income. Personality and Social Psychology Bulletin, 42(4), 471-484. doi:10.1177/0146167216634060
Carter, M.J. and Fuller, C. (2016). Symbolic interactionism. Current Sociology, 64(6), 931-961. https://doi.org/10.1177/001139211663839
Cecchini, M., Bajo, E., Russo, P.M. and Sobrero, M. (2019). Individual differences in the disposition effect. Journal of Behavioral Finance, 20(1), 107-126. https://doi.org/10.1080/15427560.2018.1492579
Champonnois, V., Chanel, O. and Makhloufi, K. (2018). Reducing the anchoring bias in multiple question CV surveys. Journal of Choice Modelling, 28, 1-9. https://doi.org/10.1016/j.jocm.2018.04.005
Cheng, T.Y., Lee, C.I. and Lin, C.H. (2013). An examination of the relationship between the disposition effect and gender, age, the traded security, and bull–bear market conditions. Journal of Empirical Finance, 21, 195-213. https://doi.org/10.1016/j.jempfin.2013.01.003
Cho, I. and Chalid, D. (2019). The effects of behavioral biases on investment performances of individual investors in the Indonesian stock market. In A. Widiana, E.R. Wulan, C. Hidayat, R.S. Fuadi, and R. Rahim (Eds.), Proceedings of the 1st international conference on Islam, science, and technology (pp. 11-12). Papers presented at the ICONISTECH 2019, Bandung, Indonesia: UIN Sunan Gunung Djati Bandung & University Malaysia Perlis.
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Dawson, C. (2023). Gender differences in optimism, loss aversion and attitudes towards risk. British Journal of Psychology, 114(4), 928-944, doi:10.1111/bjop.12668
Dervishaj, B. (2021). Psychological biases, main factors of financial behaviour - A literature review. European Journal of Medicine and Natural Sciences, 4(1), 27-44. doi:10.26417/ejnm.v1i2.p25-35
Dhar, R. and Zhu, N. (2002). Up close and personal: An individual level analysis of the disposition effect (Yale ICF Working Paper No. 02-20). http://dx.doi.org/10.2139/ssrn.302245
Dharma, W.A. and Koesrindartoto, D.P. (2018). Reversal on disposition effect: evidence from Indonesian stock trader behavior. International Journal of Business & Society, 19(1), 233-244. Retrieved from https://www.ijbs.unimas.my/
Dohmen, T., Falk, A., Huffman, D., Sunde, U., Schupp, J. and Wagner, G.G. (2011). Individual risk attitudes: Measurement, determinants, and behavioral consequences. Journal of the European Economic Association, 9(3), 522-550. https://doi.org/10.1111/j.1542-4774.2011.01015.x
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Ezzat, M.H. (2020). Behavioral agent-based framework for interacting financial markets. Review of Economics and Political Science, 5(2), 94-115. https://doi.org/10.1108/REPS-03-2019-0037
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Navigating the Stock Market: Modeling Wealth Exchange and Network Interaction with Loss Aversion, Disposition Effect and Anchoring and Adjustment Bias

Yıl 2024, Cilt: 9 Sayı: 1, 88 - 122, 29.03.2024

Ömür Saltık

https://doi.org/10.30784/epfad.1435009

Öz

This study aims to integrate meta-analysis into agent-based models and provide foundational insights into biased agent interactions. It delves deeply into the effects of various behavioral biases such as anchoring, disposition effect, loss aversion, and others on market dynamics and investor decisions. Using agent-based models, it presents simulations of market scenarios and investor behaviors, emphasizing the impact of individual decisions on market dynamics. The innovative approach of this study lies in integrating behavioral finance theories with real market data, offering a nuanced analysis of market behaviors. This work contributes a new perspective to behavioral finance and encourages the use of agent-based models to deepen our understanding of market dynamics and investor behaviors, which can be helpful in financial market analysis and policy-making. This study aims to provide a foundational framework for those looking to integrate meta-analysis into agent-based models and explore biased agent behaviors. The findings demonstrate the ability to model the interactions of loss aversion, disposition effect, and anchoring and adjustment bias taking into account agents' socio-demographic and psychological factors, as close to the real world as possible. The results offer highly favorable forecasts for modeling human behaviors more accurately in portfolio optimizations and for expanding the applications of Generalized Artificial Intelligence in financial market implementations.

Anahtar Kelimeler

Loss Aversion, Disposition Effect, Anchoring and Adjustment Bias, Agent Based Modelling

Kaynakça

Arora, M. and Kumari, S. (2015). Risk taking in financial decisions as a function of age, gender: Mediating role of loss aversion and regret. International Journal of Applied Psychology, 5(4), 83-89. doi: 10.5923/j.ijap.20150504.01
Arora, R. and Rajendran, M. (2023). Moored minds: An experimental insight into the impact of the anchoring and disposition effect on portfolio performance. Journal of Risk and Financial Management, 16(8), 349-371. https://doi.org/10.3390/jrfm16080349
Asadi, D., Davallou, M. and Eskini, S. (2020). Adjustment and anchoring or disposition effect; Evidence of momentum pattern. Journal of Financial Management Perspective, 29, 9-37. doi:10.52547/JFMP.10.29.9
Bankes, S.C. (2002). Agent-based modeling: A revolution? Proceedings of the National Academy of Sciences, 99, 7199-7200. https://doi.org/10.1073/pnas.072081299
Barber, B.M. and Odean, T. (2001). Boys will be boys: Gender, overconfidence, and common stock investment. The Quarterly Journal of Economics, 116(1), 261-292. http://dx.doi.org/10.2139/ssrn.139415
Blake, D., Cannon, E. and Wright, D. (2021). Quantifying loss aversion: Evidence from a UK population survey. Journal of Risk and Uncertainty, 63(1), 27-57. http://dx.doi.org/10.2139/ssrn.3552247
Blumer, H. (1986). Symbolic interactionism: Perspective and method. London: University of California Press.
Bokhari, S. and Geltner, D. (2011). Loss aversion and anchoring in commercial real estate pricing: Empirical evidence and price index implications. Real Estate Economics, 39(4), 635-670. https://doi.org/10.1111/j.1540-6229.2011.00308.x
Bourdieu, P. (1986). The forms of capital. In J. Richardson (Ed.), Handbook of theory and research for the sociology of education (pp.15-29). Westport: Greenwood.
Boyce, C.J., Wood, A.M., Banks, J., Clark, A.E. and Brown, G.D. (2013). Money, well-being, and loss aversion: Does an income loss have a greater effect on well-being than an equivalent income gain? Psychological Science, 24(12), 2557-2562. doi:10.1177/0956797613496436
Boyce, C.J., Wood, A.M. and Ferguson, E. (2016). Individual differences in loss aversion: Conscientiousness predicts how life satisfaction responds to losses versus gains in income. Personality and Social Psychology Bulletin, 42(4), 471-484. doi:10.1177/0146167216634060
Carter, M.J. and Fuller, C. (2016). Symbolic interactionism. Current Sociology, 64(6), 931-961. https://doi.org/10.1177/001139211663839
Cecchini, M., Bajo, E., Russo, P.M. and Sobrero, M. (2019). Individual differences in the disposition effect. Journal of Behavioral Finance, 20(1), 107-126. https://doi.org/10.1080/15427560.2018.1492579
Champonnois, V., Chanel, O. and Makhloufi, K. (2018). Reducing the anchoring bias in multiple question CV surveys. Journal of Choice Modelling, 28, 1-9. https://doi.org/10.1016/j.jocm.2018.04.005
Cheng, T.Y., Lee, C.I. and Lin, C.H. (2013). An examination of the relationship between the disposition effect and gender, age, the traded security, and bull–bear market conditions. Journal of Empirical Finance, 21, 195-213. https://doi.org/10.1016/j.jempfin.2013.01.003
Cho, I. and Chalid, D. (2019). The effects of behavioral biases on investment performances of individual investors in the Indonesian stock market. In A. Widiana, E.R. Wulan, C. Hidayat, R.S. Fuadi, and R. Rahim (Eds.), Proceedings of the 1st international conference on Islam, science, and technology (pp. 11-12). Papers presented at the ICONISTECH 2019, Bandung, Indonesia: UIN Sunan Gunung Djati Bandung & University Malaysia Perlis.
Coleman, J.S. (1990). Foundations of social theory (1. ed.). Cambridge: Harvard University Press.
Davis, H.L., Hoch, S.J. and Ragsdale, E.E. (1986). An anchoring and adjustment model of spousal predictions. Journal of Consumer Research, 13(1), 25-37. https://doi.org/10.1086/209045
Dawson, C. (2023). Gender differences in optimism, loss aversion and attitudes towards risk. British Journal of Psychology, 114(4), 928-944, doi:10.1111/bjop.12668
Dervishaj, B. (2021). Psychological biases, main factors of financial behaviour - A literature review. European Journal of Medicine and Natural Sciences, 4(1), 27-44. doi:10.26417/ejnm.v1i2.p25-35
Dhar, R. and Zhu, N. (2002). Up close and personal: An individual level analysis of the disposition effect (Yale ICF Working Paper No. 02-20). http://dx.doi.org/10.2139/ssrn.302245
Dharma, W.A. and Koesrindartoto, D.P. (2018). Reversal on disposition effect: evidence from Indonesian stock trader behavior. International Journal of Business & Society, 19(1), 233-244. Retrieved from https://www.ijbs.unimas.my/
Dohmen, T., Falk, A., Huffman, D., Sunde, U., Schupp, J. and Wagner, G.G. (2011). Individual risk attitudes: Measurement, determinants, and behavioral consequences. Journal of the European Economic Association, 9(3), 522-550. https://doi.org/10.1111/j.1542-4774.2011.01015.x
Epstein, J.M. and Axtell, R. (1996). Growing artificial societies: social science from the bottom up (1.ed.). Washington, D.C.: Brookings Institution Press.
Ezzat, H.M. (2019). Disposition effect and multi-asset market dynamics. Review of Behavioral Finance, 11(2), 144-164. https://doi.org/10.1108/RBF-01-2018-0003
Ezzat, M.H. (2020). Behavioral agent-based framework for interacting financial markets. Review of Economics and Political Science, 5(2), 94-115. https://doi.org/10.1108/REPS-03-2019-0037
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Toplam 83 adet kaynakça vardır.

Ayrıntılar

Birincil Dil	İngilizce
Konular	Davranışsal İktisat, Finansal Piyasalar ve Kurumlar
Bölüm	Makaleler
Yazarlar	Ömür Saltık 0000-0001-8507-8971
Yayımlanma Tarihi	29 Mart 2024
Gönderilme Tarihi	10 Şubat 2024
Kabul Tarihi	27 Mart 2024
Yayımlandığı Sayı	Yıl 2024 Cilt: 9 Sayı: 1

Kaynak Göster

APA	Saltık, Ö. (2024). Navigating the Stock Market: Modeling Wealth Exchange and Network Interaction with Loss Aversion, Disposition Effect and Anchoring and Adjustment Bias. Ekonomi Politika Ve Finans Araştırmaları Dergisi, 9(1), 88-122. https://doi.org/10.30784/epfad.1435009

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