The neoclassical price adjustment equation stipulates that prices move toward equilibrium at rate that is proportional to the excess demand, i.e., the difference between the demand and supply divided by the demand (at that price). However, the demand and supply are generally nonlinear functions...

A system of nonlinear asset flow differential equations (AFDE) gives rise to an inverse problem involving optimization of parameters that characterize an investor population. The optimization procedure is used in conjunction with daily market prices and net asset values to determine the...

Overreactions and other behavioral effects in stock prices can best be examined by adjusting for the changes in fundamentals. We perform this by subtracting the relative price changes in the net asset value (NAV) from that of the market price (MP) daily for 134,406 data points of closed end...

We develop a methodology to extract a quantitative model for behavioral effects in markets from empirical data. A set of 24 asset market experiments are utilized to derive an equation of price and its dependence on momentum, fundamental value, excess bid level and liquidity considerations. A...