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The influence of heterogeneous preferences on asset prices in an incomplete market model

Niehaus, Frank - 2001

Persistent link: https://www.econbiz.de/10001553294

Guo, Xin - 2016

This paper proposes and studies an optimal placement problem in a limit order book. To gain some analytical insights, a simple correlated random walk model with mean-reversion is proposed for the best ask price. Optimal placement strategies for both single-period and multi-period cases are...

Persistent link: https://www.econbiz.de/10013007240

On Return Rate Implied by Behavioural Present Value

Piasecki, Krzysztof Maciej - 2015

The future value of a security is described as a random variable. Distribution of this random variable is the formal image of risk uncertainty. On the other side, any present value is defined as a value equivalent to the given future value. This equivalence relationship is a subjective. Thus...

Persistent link: https://www.econbiz.de/10013031830

Expectations, Price Fluctuations and Lorenz Attractor

Olkhov, Victor - 2018

This paper describes expectations and Buy-Sell transactions of assets as ground for modeling trading volume and price fluctuations. We study simple model of mutual relations between transactions and expectations and derive economic equations that describe disturbances of asset prices, trading...

Persistent link: https://www.econbiz.de/10012910802

Network Complexity and Financial Behavior – Volume Distribution over Price in Financial Market

Shi, Leilei; Wang, Bing-Hong - 2021

since its empirical revolution, from which someone is destined to propose a unified theory in the history of economic … sciences. The theory based on a price-volume probability wave differential equation views stock market as the complex networks … this direction, we attempt to further develop a theory for complex networks, control systems, systems sciences, and …

Persistent link: https://www.econbiz.de/10013243222

Econophysics of Asset Price, Return and Multiple Expectations

Olkhov, Victor - 2019

This paper describes asset price and return disturbances as result of relations between transactions and multiple kinds of expectations. We show that disturbances of expectations can cause fluctuations of trade volume, price and return. We model price disturbances for transactions made under all...

Persistent link: https://www.econbiz.de/10012894518

The influence of heterogeneous preferences on asset prices in an incomplete market model

Niehaus, Frank - 2001

In this paper, we examine an exchange economy with a financial market composed of three assets: a share of a stock, an European call option written on the stock, and a riskless bond. The financial market is assumed to be incomplete and the option is not a redundant asset. In such a case the...

Persistent link: https://www.econbiz.de/10011526229

Inefficient bubbles and efficient drawdowns in financial markets

Schatz, Michael; Sornette, Didier - 2018

At odds with the common “rational expectations” framework for bubbles, economists like Hyman Minsky, Charles Kindleberger and Robert Shiller have documented that irrational behavior, ambiguous information or certain limits to arbitrage are essential drivers for bubble phenomena and financial...

Persistent link: https://www.econbiz.de/10011900246

Cascading logistic regression onto gradient boosted decision trees to predict stock market changes using technical analysis

Zhou, Feng; Zhang, Qun; Sornette, Didier; Jiang, Liu - 2018

In the data mining and machine learning fields, forecasting the direction of price change can be generally formulated as a supervised classfii cation. This paper attempts to predict the direction of daily changes of the Nasdaq Composite Index (NCI) and of the Standard & Poor's 500 Composite...

Persistent link: https://www.econbiz.de/10011900252

Rationality and asset prices under belief heterogeneity

Giachini, Daniele - 2018

In this paper I study the relationship between rationality and asset prices when agents have heterogeneous and incorrect beliefs about future events. Using the fully rational pricing as a benchmark, I show that when agents behave according to the Subjective Generalized Kelly rule (Bottazzi et...

Persistent link: https://www.econbiz.de/10011805975