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Revisiting the issue of survivability and market efficiency with the Santa Fe Artificial Stock Market

机译：对Santa Fe人工股市重新审视生存能力和市场效率问题

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The relevance of risk preference and forecasting accuracy for investor survival has recently been the focus of a series of theoretical and simulation studies. At one extreme, it has been proven that risk preference can be entirely irrelevant (Sandroni in Econometrica 68:1303-1341, 2000; Blume and Easley in Econometrica 74(4):929-966, 2006). However, the agent-based computational approach indicates that risk preference matters and can be more relevant for survivability than forecasting accuracy (Chen and Huang in Advances in natural computation, Springer, Berlin, 2005; J Econ Behav Organ 67(3):702-717, 2008; Huang in J Econ Interact Coord, 2015). Chen and Huang (Inf Sci 177(5):1222-1229, 2007, 2008) further explained that it is the saving behavior of traders that determines their survivability. However, institutional investors do not have to consider saving decisions that are the most influential investors in modern financial markets. Additionally, traders in the above series of theoretical and simulation studies have learned to forecast the stochastic process that determines which asset will pay dividends, not the market prices and dividends. To relate the research on survivability to issues with respect to the efficient markets hypothesis, it is better to endow agents with the ability to forecast market prices and dividends. With the Santa Fe Artificial Stock Market, where traders do not have to consider saving decisions and can learn to forecast both asset prices and dividends, we revisit the issue of survivability and market efficiency. We find that the main finding of Chen and Huang 2008 that risk preference is much more relevant for survivability than forecasting accuracy still holds for a wide range of market conditions but can fail when the baseline dividend becomes very small. Moreover, the advantage of traders who are less averse to risk is revealed in the market where saving decisions are not taken into account. Finally, Huang's (2015) argument regarding the degree of market inefficiency is confirmed.
机译：风险偏好和预测准确性对投资者生存的相关性最近是一系列理论和模拟研究的重点。在一个极端，已经证明风险偏好可以完全无关（Mancormonetrica 68：1303-1341,2000; Blume和Easley，在Moverictrica 74（4）：929-966,2006）。然而，基于代理的计算方法表明风险偏好事项，并且可以比预测准确性更重要，并且可以比预测准确性（陈和黄在自然计算的进步，柏林，柏林，2005; J ECON Sport Organ 67（3）：702- 717年，2008年;黄在J ECON Interaction Coord，2015年）。陈和黄（INF SCI 177（5）：1222-1229,2007,2008）进一步解释说，它是确定其生存能力的交易者的保存行为。但是，机构投资者不必考虑节省最有影响力的现代金融市场投资者的决定。此外，上述系列理论和模拟研究中的交易者已经了解到预测确定哪些资产将支付股息的随机过程，而不是市场价格和股息。为了使对有效市场假设的问题的生存性研究有关，因此更好地赋予了预测市场价格和股息的能力。随着Santa Fe人工股票市场，交易商不必考虑挽救决定，并可以学会预测资产价格和股息，我们重新审视生存能力和市场效率问题。我们发现，陈和黄2008的主要发现，风险偏好与生存性要比预测准确性更加相关，但在基线股息变得非常小时，可能会失败。此外，在市场上没有考虑储蓄决定的市场中揭示了不太厌恶风险的交易者的优势。最后，黄的（2015年）关于市场低效率程度的论点。

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