The following paper builds a multi-agent model where agents have asymmetric risk attitudes consistent with behavioural finance. The gain/loss asymmetry can be reproduced by this model:
Investors’ risk attitudes and stock price fluctuation asymmetry (2011) by Yu Zhang, Honggang Li
Abstract
Price rise/fall asymmetry, which indicates enduring but modest rises
and sudden short-term falls, is a ubiquitous phenomenon in stock
markets throughout the world. Instead of the widely used time series
method, we adopt inverse statistics from turbulence to analyze this
asymmetry. To explore its underlying mechanism, we build a multi-agent
model with two kinds of investors, which are specifically referred to
as fundamentalists and chartists. Inspired by Kahneman and Tversky’s
claim regarding peoples’ asymmetric psychological responses to the
equivalent levels of gains and losses, we assume that investors take
different risk attitudes to gains and losses and adopt different
trading strategies. The simulation results of the model developed
herein are consistent with empirical work, which may support our
conjecture that investors’ asymmetric risk attitudes might be one
origin of rise/fall asymmetry.
Unfortunately the paper is behind a paywall and I haven't found a freely available version. When you find one I will add the link to it here.