Published in:WBS Finance Group Research Paper ; No. 74
Extent:
1 Online-Ressource (23 p)
Language:
Not determined
DOI:
10.2139/ssrn.967286
Identifier:
Origination:
Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 14, 2007 erstellt
Description:
In this paper we test whether investors are uncertainty averse during a real-life trading process in the foreign exchange market. We do this through an agent-based model in which fundamentalist and chartist beliefs of the exchange rate are allowed to be either uncertainty neutral or uncertainty averse. The uncertainty aversion is modelled via the maxmin expected utility approach. We find that traders are uncertainty averse in the FX market. The estimation results show that the inclusion of uncertainty averse agents improves the performance of the model and the uncertainty aversion parameter is significantly different from zero. Fundamentalists are found to be uncertainty neutral and chartists - mainly uncertainty averse