The optimization of Investment Beliefs in Tehran Stock Exchange Break Points Based on Heterogeneous Agent Models Framework and Agent Based Modelling with Genetic Algorithm

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KHOSHNOOD MEHDI; Rahnamay Roodposhti Fraydoun; NIKOOMARAM HASHEM

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2020 | Volume:11 | Issue:42 Page(s): 248-271

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Title

The optimization of Investment Beliefs in Tehran Stock Exchange Break Points Based on Heterogeneous Agent Models Framework and Agent Based Modelling with Genetic Algorithm

Author(s)

KHOSHNOOD MEHDI | Rahnamay Roodposhti Fraydoun | NIKOOMARAM HASHEM | Issue Writer Certificate

Keywords

heterogeneous agent modelQ1

agent based modellingQ1

Behavioral FinanceQ2

over confidenceQ1

market sentimentQ1

Genetic AlgorithmQ2

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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APA: Copy

KHOSHNOOD, MEHDI, Rahnamay Roodposhti, Fraydoun, & NIKOOMARAM, HASHEM. (2020). The optimization of Investment Beliefs in Tehran Stock Exchange Break Points Based on Heterogeneous Agent Models Framework and Agent Based Modelling with Genetic Algorithm. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 11(42 ), 248-271. SID. https://sid.ir/paper/367632/en

Vancouver: Copy

KHOSHNOOD MEHDI, Rahnamay Roodposhti Fraydoun, NIKOOMARAM HASHEM. The optimization of Investment Beliefs in Tehran Stock Exchange Break Points Based on Heterogeneous Agent Models Framework and Agent Based Modelling with Genetic Algorithm. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2020;11(42 ):248-271. Available from: https://sid.ir/paper/367632/en

IEEE: Copy

MEHDI KHOSHNOOD, Fraydoun Rahnamay Roodposhti, and HASHEM NIKOOMARAM, “The optimization of Investment Beliefs in Tehran Stock Exchange Break Points Based on Heterogeneous Agent Models Framework and Agent Based Modelling with Genetic Algorithm,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 11, no. 42 , pp. 248–271, 2020, [Online]. Available: https://sid.ir/paper/367632/en

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