Cognitive Biases, Volatility, and Risk in Capital Markets: Revealing Risk through Simulation

Persistent Link:
http://hdl.handle.net/10150/202772
Title:
Cognitive Biases, Volatility, and Risk in Capital Markets: Revealing Risk through Simulation
Author:
Reddy, Praneel
Issue Date:
2011
Publisher:
The University of Arizona.
Rights:
Copyright © is held by the author. Digital access to this material is made possible by the University Libraries, University of Arizona. Further transmission, reproduction or presentation (such as public display or performance) of protected items is prohibited except with permission of the author.
Abstract:
The modeling of financial risk, whose shortcomings came to the fore during the financial crisis, generally understands risk from the history of prices and returns. However, the state space of risk is not fully revealed from the history of prices and returns. In this dissertation, certain cognitive biases were modeled, and the simulation results were quantitatively characterized to reveal risk not revealed from the history of prices and returns. This contribution adds to the extant literature on the modeling of financial risk by showing how to reveal parts of the state space of risk not revealed from other methods in use today.
Type:
text; Electronic Dissertation
Keywords:
Cognitive Biases; Finance; Psychology; Volatility and Risk Management; Electrical & Computer Engineering; Agent-Based Modeling and Simulation; Behavioral Finance
Degree Name:
Ph.D.
Degree Level:
doctoral
Degree Program:
Graduate College; Electrical & Computer Engineering
Degree Grantor:
University of Arizona
Advisor:
Rozenblit, Jerzy W.

Full metadata record

DC FieldValue Language
dc.language.isoenen_US
dc.titleCognitive Biases, Volatility, and Risk in Capital Markets: Revealing Risk through Simulationen_US
dc.creatorReddy, Praneelen_US
dc.contributor.authorReddy, Praneelen_US
dc.date.issued2011-
dc.publisherThe University of Arizona.en_US
dc.rightsCopyright © is held by the author. Digital access to this material is made possible by the University Libraries, University of Arizona. Further transmission, reproduction or presentation (such as public display or performance) of protected items is prohibited except with permission of the author.en_US
dc.description.abstractThe modeling of financial risk, whose shortcomings came to the fore during the financial crisis, generally understands risk from the history of prices and returns. However, the state space of risk is not fully revealed from the history of prices and returns. In this dissertation, certain cognitive biases were modeled, and the simulation results were quantitatively characterized to reveal risk not revealed from the history of prices and returns. This contribution adds to the extant literature on the modeling of financial risk by showing how to reveal parts of the state space of risk not revealed from other methods in use today.en_US
dc.typetexten_US
dc.typeElectronic Dissertationen_US
dc.subjectCognitive Biasesen_US
dc.subjectFinanceen_US
dc.subjectPsychologyen_US
dc.subjectVolatility and Risk Managementen_US
dc.subjectElectrical & Computer Engineeringen_US
dc.subjectAgent-Based Modeling and Simulationen_US
dc.subjectBehavioral Financeen_US
thesis.degree.namePh.D.en_US
thesis.degree.leveldoctoralen_US
thesis.degree.disciplineGraduate Collegeen_US
thesis.degree.disciplineElectrical & Computer Engineeringen_US
thesis.degree.grantorUniversity of Arizonaen_US
dc.contributor.advisorRozenblit, Jerzy W.en_US
dc.contributor.committeememberLysecky, Susanen_US
dc.contributor.committeememberLysecky, Romanen_US
dc.contributor.committeememberRozenblit, Jerzy W.en_US
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