Social interaction contributes to stochastic volatility and momentum in financial markets. By developing a simple evolutionary model of asset pricing and population game, we incorporate social interaction among investors with information uncertainty and show that social interaction leads to the...

To capture the well documented time series momentum and reversal in asset price, we develop a continuous-time asset price model, derive the optimal investment strategy theoretically, and test the strategy empirically. We show that, by combining market fundamentals and timing opportunity with...