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Commodity Pricing : Time-Varying Discount Rates vs. Investors’ Heterogeneity
Bredin, Donal; Potì, Valerio; Salvador, Enrique - 2023
On the 30th anniversary of the seminal article by Pindyck (1993), we re-evaluate the evidence for the classical rational model of commodity prices, extending it to admit time- varying discount rates, investors’ heterogeneity or both. Discount factors specifications are flexible enough to allow...
Persistent link: https://www.econbiz.de/10014351164
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Sentiment-Driven Speculation in Financial Markets with Heterogeneous Beliefs : A Machine Learning Approach
Di Francesco, Tommaso; Hommes, Cars H. - 2023
This paper proposes an heterogenous asset pricing model in which different classes of investors coexist and evolve, switching among strategies over time according to a fitness measure. In the presence of boundedly rational agents, with biased forecasts and trend following rules, rational or...
Persistent link: https://www.econbiz.de/10014350871
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Speculation Sentiment
Davies, Shaun - 2020
-like demand, that is, speculation sentiment. The leveraged ETFs' primary market is a novel setting that provides observable … proxies for the magnitude and direction of speculative demand shocks and I use it to form the Speculation Sentiment Index …. Using the index, I show that speculation sentiment is contrarian; For example, it is bullish in down markets. I also find …
Persistent link: https://www.econbiz.de/10012853530
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Do proprietary traders provide liquidity?
Bergman, Nittai K.; Kadan, Ohad; Michaely, Roni; … - 2020
Whether proprietary traders provide or take liquidity, and how their behavior evolves over the business cycle and across stocks, remains at the center of an ongoing debate. Using a unique dataset from the NYSE, we document that proprietary traders concentrate their trades in large and liquid...
Persistent link: https://www.econbiz.de/10012419705
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Market Liquidity : A Study from Proprietary Algorithmic Traders Perspective
Banerjee, Ashok - 2016
In this paper, we investigate the role of proprietary algorithmic traders in facilitating liquidity in a limit order market. Using the order level data from National Stock Exchange of India, we find that they increase limit order supply following periods of high short-term volatility or periods...
Persistent link: https://www.econbiz.de/10013000937
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Retail investor information demand : speculating and investing in structured products
Schroff, Sebastian; Meyer, Stephan; Burghof, Hans-Peter - 2013
retail investor speculation and investing activity …
Persistent link: https://www.econbiz.de/10012822379
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Market Liquidity : A Study from Proprietary Algorithmic Traders Perspective
Banerjee, Ashok - 2016
In this paper, we investigate the role of proprietary algorithmic traders in facilitating liquidity in a limit order market. We find that they rarely use liquidity removing market orders. Their ability to affect the bid-ask spread with order cancellation rates is maximum among three mutually...
Persistent link: https://www.econbiz.de/10013002949
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Trader Leverage and Liquidity
Kahraman, Bige - 2016
Does trader leverage drive equity market liquidity? We use the unique features of the margin trading system in India to identify a causal relationship between traders' ability to borrow and a stock's market liquidity. To quantify the impact of trader leverage, we employ a regression...
Persistent link: https://www.econbiz.de/10013006986
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An overreaction implementation of the coherent market hypothesis and option pricing
Schöbel, Rainer (contributor); Veith, Jochen (contributor) - 2006
Inspired by the theory of social imitation (Weidlich 1970) and its adaptation to financial markets by the Coherent Market Hypothesis (Vaga 1990), we present a behavioral model of stock prices that supports the overreaction hypothesis. Using our dynamic stock price model, we develop a two factor...
Persistent link: https://www.econbiz.de/10003636657
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Speculative behavior and the dynamics of interacting stock markets
Schmitt, Noemi; Westerhoff, Frank H. - 2013
We develop a simple agent-based financial market model in which heterogeneous speculators apply technical and fundamental analysis to trade in two different stock markets. Speculators’ strategy/market selections are repeated at each time step and depend on predisposition effects, herding...
Persistent link: https://www.econbiz.de/10010204792