The optimization of Investment Beliefs in Tehran Stock Exchange Break Points Based on Heterogeneous Agent Models Framework and Agent Based Modelling with Genetic Algorithm
Subject Areas : Financial engineeringmehdi khoshnood 1 , Fraydoun Rahnamay Roodposhti 2 , Hashem Nikoomaram 3
1 - Department of Financial Management, Science and Research Branch, Islamic Azad University, Tehran, Iran
2 - Department of Financial Management, Science and Research Branch, Islamic Azad University, Tehran, Iran
3 - Department of Business Management, Sience & Rasearch Branch, Islamic Azad University,Tehran, Iran.
Keywords: Genetic Algorithm, Behavioral Finance, market sentiment, heterogeneous agent model, agent based modelling, over confidence,
Abstract :
This paper survey beliefs of investor on Tehran stock exchange at three break point date (BPD). at first three BPD with several criterion : average of the share price indices , average value of the stock market turnover , average value of the stock market capitalization .according this three BPD are : the election of Mahmood Ahmadinejad at 2005 , financial crisis at 2008 and the election of Hassan rouhani at 2013 . In addition this paper is base of Brock and Hommes heterogeneous agent model (HAM) framework. Samples are the shares of companies that 40 days before and 40 days after was traded .then with MATLAB software code was writhed and simulation done. Finding shows that strategy of contrarian trend chaser is the best and we can with genetic algorithm optimize average and standard deviation of coefficient of investment strategy and adaption with real market at break point dates.
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