A heterogeneous agent pricing model and simulation investor’s behavior on big decline on Tehran stock exchange

Subject Areas : Journal of Investment Knowledge

Mehdi Khoshnood ¹ , Fraydoon Rahnamay Roodposhti ²

1 - PhD in financial management, Islamic Azad University, Science and Research Branch, Tehran, Iran
2 - Professor of Accounting،Islamic Azad University, Science and Research Branch, Tehran, Iran.

Received: 2019-09-07 Accepted : 2019-09-21 Published : 2021-12-22

Keywords: Behavioral Finance, market sentiment, Heterogeneous agent model, agent based modelling, big decline,

Abstract :

Today much behavioral finance researches focuses on heterogeneous agent model (HAM) and agent based modeling (ABM). The purposes of this article presentation of heterogeneous agent pricing model at big decline on Tehran stock exchange and simulation investor’s behavior on agent based modeling framework with emphasis herd behavior and market sentiment. at first three big decline specified 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 big decline are : 2005 ,2008 and 2013. 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 show that HAM model can estimate investor’s behavior at big decline on Tehran stock exchange.

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