Inspired by the theory of social imitation (Weidlich 1970) and its adaptation to financial markets by the Coherent … our dynamic stock price model, we develop a two factor general equilibrium model for pricing derivative securities. The … two factors of our model are the stock price and a market polarization variable which determines the level of overreaction …

as bull and bear market dynamics and excess volatility. -- Heterogeneous interacting agents ; Bull and bear market …

-post and ex-ante types), of cancellation fees and of transaction taxes on asset price volatility and on the occurrence and …, the introduction of an ex-ante circuit breaker markedly reduces price volatility and removes flash crashes. In contrast … price fluctuations. In addition, high-frequency traders employ low-latency directional strategies that exploit market …

International financial markets are said to be excessively volatile due to destabilizing speculation and excessive … liquidity, which minimizes excess volatility. There are two effects when imposing a transactions tax. Both reduce excess … volatility in highly speculative markets when tax rates are small. The total tax effect then is unambiguous. However, in illiquid …

increase in price volatility as well, however, under certain conditions. Price changes from pyramiding effect are also … reduction in the margin requirement may cause the stock price to rise in the current period because it increases the demand of … negatively associated with margin requirements. Price changes from depyramiding effect, however, may not be affected when margin …

regimes with high volatility originate from the fact that speculators extract stronger trading signals out of past stock price … crashes, excess volatility, serially uncorrelated returns, fat-tailed return distributions and volatility clustering, thereby …