Behavioral Finance and Agent-Based Artificial Markets

Studying the behavior of market participants is important due to its potential impact on asset prices and the dynamics of financial markets. The idea of individual investors who are prone to biases in judgment and who use various heuristics, which might lead to anomalies on the market level, has been explored within the field of behavioral finance. In this dissertation, we analyze market-wise implications of investor behavior and their irrationalities by means of agent-based simulations of financial markets. The usefulness of agent-based artificial markets for studying the behavioral finance topics stems from their ability to relate the micro-level behavior of individual market participants (represented as agents) and the macro-level behavior of the market (artificial time-series). This micro-macro mapping of agent-based methodology is particularly useful for behavioral finance, because that link is often broken when using other methodological approaches. In this thesis, we study various biases commented in the behavioral finance literature and propose novel models for some of the behavioral phenomena. We provide mathematical definitions and computational implementations for overconfidence (miscalibration and better-than-average effect), investor sentiment (optimism and pessimism), biased self-attribution, loss aversion, and recency and primacy effects. The levels of these behavioral biases are related to the features of the market dynamics, such as the bubbles and crashes, and the excess volatility of the market price. The impact of behavioral biases on investor performance is also studied

Computational approaches to the study of post-marital residence : a thesis presented in partial fullfilment of the requirements for the degree of Doctor of Philosophy in Statistics at Massey University, Manawatu, New Zealand

Chapter 2 is republished under a CC BY-NC-ND 4.0 license: Moravec, Jiří C., Atkinson, Quentin, Bowern, Claire, Greenhill, Simon J., Jordan, Fiona M., Ross, Robert M., Gray, Russell, Marsland, Stephen, & Cox, Murray P. (2018). Post-marital residence patterns show lineage-specific evolution. Evolution and Human Behavior, 39, 594-601. https://doi.org/10.1016/j.evolhumbehav.2018.06.002Post-marital residence is the location taken by a couple after marriage. It is often a cultural practice, a choice based on tradition. Through its effect on family and family structure, post-marital residence influences important concepts and practices such as inheritance of property, status of men and women, initiation rites and tracing of descent. Due to its long-reaching effects and the fact that it is relatively easy to observe, through a short discussion with informant or by collecting information about marriages, post-marital residence has become an important subject of study for many anthropologists. In the past, post-marital residence was predominantly explored through association studies. However, factors influencing post-marital residence often exhibit unclear causative direction. This makes their study using association analyses difficult. This thesis will explore post-marital residence using three different computational methods: an evolutionary approach based on language trees; a data-mining approach that finds clusters of societies in an ethnographic database; and an agent-based model of warfare-induced residence change. These three methods enable exploration of post-marital residence from significantly different angles, which enables me to describe a much more complex and balanced picture. I find no evidence for the existence of global patterns of residence change. In fact, even language groups with similar demographic histories differ significantly in their patterns of residence evolution. However, I find strong evidence for the existence of more localized patterns. Based on data that describe societal properties such as the prevalent type of subsistence, sex taboos or type of housing, societies can be clustered into groups, with some groups being almost exclusively formed by societies with a single type of residence. Finally, I find that while warfare is able to induce a change of residence, it does this only when a significant portion of the society is under warfare pressure. However, warfare can also be a catalyst when another factor influencing residence change is present. My results suggest that more localized patterns should be explored. Based on the grouping of societies identified in this work, one should not assume that because two societies have the same residence state that similar factors must be in play. In fact, a multitude of factors could induce change into a specific residence state under different conditions. Thus, the factors for residence change should be explored on a case-by-case basis and societies with similar histories and pressures should be grouped together and investigated instead. Societies where the change of residence was induced by warfare could be one such group. Results from the agent-based model can help to specify the exact conditions required. Computational-based approaches enable new and interesting points of view on classical anthropological problems. However, they are limited by the existence of data and a functional knowledge of societies and cultures. These are often lacking, at least in a programatically accessible form. Thus, developing better and more accessible databases and knowledge banks with a mechanistic description of cultural concepts should be a primary future focus for anthropology. Taken together, the results of the three approaches shown in this thesis form a strong statement regarding how various factors influence a change of post-marital residence. This provides a proof of concept of benefits for tacking classical anthropology questions with computational tools. It will hopefully work as an invitation for collaboration between the two research areas

A Formal Modeling Approach to Understanding Stone Tool Raw Material Selection in the African Middle Stone Age: A Case Study from Pinnacle Point, South Africa

abstract: The South African Middle Stone Age (MSA), spanning the Middle to Late Pleistocene (Marine Isotope Stages (MIS) 8-3) witnessed major climatic and environmental change and dramatic change in forager technological organization including lithic raw material selection. Homo sapiens emerged during the MSA and had to make decisions about how to organize technology to cope with environmental stressors, including lithic raw material selection, which can effect tool production and application, and mobility. This project studied the role and importance of lithic raw materials in the technological organization of foragers by focusing on why lithic raw material selection sometimes changed when the behavioral and environmental context changed. The study used the Pinnacle Point (PP) MSA record (MIS6-3) in the Mossel Bay region, South Africa as the test case. In this region, quartzite and silcrete with dramatically different properties were the two most frequently exploited raw materials, and their relative abundances change significantly through time. Several explanations intertwined with major research questions over the origins of modern humans have been proposed for this change. Two alternative lithic raw material procurement models were considered. The first, a computational model termed the Opportunistic Acquisition Model, posits that archaeological lithic raw material frequencies are due to opportunistic encounters during random walk. The second, an analytical model termed the Active-Choice Model drawn from the principles of Optimal Foraging Theory, posits that given a choice, individuals will choose the most cost effective means of producing durable cutting tools in their environment and will strategically select those raw materials. An evaluation of the competing models found that lithic raw material selection was a strategic behavior in the PP record. In MIS6 and MIS5, the selection of quartzite was driven by travel and search cost, while during the MIS4, the joint selection of quartzite and silcrete was facilitated by a mobility strategy that focused on longer or more frequent stays at PP coupled with place provisioning. Further, the result suggests that specific raw materials and technology were relied on to obtain food resources and perform processing tasks suggesting knowledge about raw material properties and suitability for tasks.Dissertation/ThesisDoctoral Dissertation Anthropology 201