The influence of speculative stocks on value stocks is examined through a set of economics experiments. The speculative asset is designed to model a company involved in a rapidly growing market that will be saturated at some unknown point. Using a control experiment where both assets are similar...

Implementing a set of microeconomic criteria, we develop price dynamics equations using a function of demand/supply with key symmetry properties. The function of demand/supply can be linear or nonlinear. The type of function determines the nature of the tail of the distribution based on the...

We analyze the relative price change of assets starting from basic supply/demand considerations. The resulting stochastic differential equation has coefficients that are functions of supply and demand. The variance in the relative price change is then dependent on the supply and demand, and is...

The methodology presented provides a quantitative way to characterize investor behavior and price dynamics within a particular asset class and time period. The methodology is applied to a data set consisting of over 250,000 data points of the S&P 100 stocks during 2004-2018. Using a two-way...

Laboratory asset markets provide an experimental setting in which to observe investor behavior. Over more than a decade, numerous studies have found that participants in laboratory experiments frequently drive asset prices far above fundamental value, after which the prices crash. This...

We study a data set of 119,260 daily closed-end fund prices using mixed-effects regressions with the objective of understanding price dynamics. There is strong statistical support that relative price change depends significantly on (i) the recent trend in a nonlinear manner, (ii) recent changes...

A new set of methodologies extracts key nonlinearities in the dynamics of financial markets from data that would appear to be completely random with ordinary linear time series methods. The understanding acquired from this analysis forms a basis for modeling conflicting and competing motivations...

An experimental asset market is used to test the effect of news concerning the underlying value of an asset on its trading price. Participants were divided into two groups and received different expected earnings values. Statistical support is found for the hypothesis that investors underreact...

We discuss research that quantifies the effects of changes in valuation, price trend, volatility and money supply on stock prices. A recent uptrend is shown to have a positive effect on daily return provided the uptrend is below a critical value. Above that value there is a negative effect. A...

Recent flash crashes have posed a puzzle for finance theory. Classical finance theory would stipulate that large pools of arbitrage capital should preclude such events. The asset flow model provides an explanation based on the finiteness of capital and motivations based on price trend. In...