Repository logo

Infoscience

  • English
  • French
Log In
Logo EPFL, École polytechnique fédérale de Lausanne

Infoscience

  • English
  • French
Log In
  1. Home
  2. Academic and Research Output
  3. Journal articles
  4. Modeling the behavior of investors
 
research article

Modeling the behavior of investors

Robin, Thomas  
•
Bierlaire, Michel  
2012
Journal of Choice Modelling

We introduce a hybrid discrete choice framework to model the decisions of investors in stock markets. More specifically, we model the decision to buy or sell stocks using a binary logit model with latent classes, characterizing the perception of risk. The model considers the dynamic nature of the underlying decision process and is estimated from the data of a Swiss bank containing 25989 transactional observations from January 2005 to September 2010 for 6 different portfolios. The predictive performance of the model is tested: a cross-validation analysis is performed and the forecasting accuracy of the model is studied in details. Parameters of the model are interpretable and quantify interesting behavioral mechanisms related to investors decisions. The predictive capabilities of the model in a real context makes it practicable.

  • Details
  • Metrics
Type
research article
DOI
10.1016/S1755-5345(13)70054-X
Author(s)
Robin, Thomas  
•
Bierlaire, Michel  
Date Issued

2012

Published in
Journal of Choice Modelling
Volume

5

Issue

2

Start page

98

End page

130

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
TRANSP-OR  
Available on Infoscience
January 20, 2014
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/99619
Logo EPFL, École polytechnique fédérale de Lausanne
  • Contact
  • infoscience@epfl.ch

  • Follow us on Facebook
  • Follow us on Instagram
  • Follow us on LinkedIn
  • Follow us on X
  • Follow us on Youtube
AccessibilityLegal noticePrivacy policyCookie settingsEnd User AgreementGet helpFeedback

Infoscience is a service managed and provided by the Library and IT Services of EPFL. © EPFL, tous droits réservés