Fuzzy Model Applied in Risk Perception and Price Forecasts…

Abstract

This study applies a fuzzy model to simulate an evolution of price forecasts among market investors based on their own risk perception and other multiple criteria decision. According to this imitation, we design a capital market laboratory experiment on the basis of Smith et al. (Econometrica 56:1119–1151, 1988). The experiment sets two groups of experiments to test the investor’s market behaviour under the influence of risk perception. The results show that there is no significant difference in changing prices under the influence of perceived systemic risks and non-systemic risks. However, when market returns become more uncertain, investors’ perceptions of risk significantly affect their trading behaviour. Furthermore, we divide the investors’ investment behaviour into different investment strategies and observe the trading behaviours of the investors with risk perception. In addition, extended analysis shows that under a risk environment, a decline in asset price is related to the amount of cash and assets held by the investors, and the assets purchased in the previous period has no substantial relationship with the asset price in the last period and the forecast accuracy of the investment asset price in the last period.