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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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Momentum and reversal in financial markets with persistent heterogeneity
Bottazzi, Giulio; Dindo, Pietro; Giachini, Daniele - 2018
This paper investigates whether short-term momentum and long-term reversal may emerge from the wealth reallocation process taking place in speculative markets. We assume that there are two classes of investors who trade long-lived assets by holding constantly rebalanced portfolios based on their...
Persistent link: https://www.econbiz.de/10011790528
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Detecting informed trading activities in the options markets
Chesney, Marc; Crameri, Remo; Mancini, Loriano - 2011
We develop statistical methods to detect informed trading in options markets. We apply these methods to 31 companies from various sectors over 14 years analyzing approximately 9.6 million option prices. We find that option informed trading tends to cluster prior to certain events, takes place...
Persistent link: https://www.econbiz.de/10009314008
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Detecting informed trading activities in the options markets : appendix on subprime financial crisis
Chesney, Marc; Crameri, Remo; Mancini, Loriano - 2011
This appendix extends the empirical results in Chesney, Crameri, and Mancini (2011). Informed trading activities on put and call options are analyzed for 19 companies in the banking and insurance sectors from January 1996 to September 2009. Our empirical findings suggest that certain events such...
Persistent link: https://www.econbiz.de/10009314012
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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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Selection-Neglect in the NFT Bubble
Huang, Dong; Goetzmann, William N. - National Bureau of Economic Research - 2023
Using transaction data from a large non-fungible token (NFT) trading platform, this paper examines how the behavioral bias of selection-neglect interacts with extrapolative beliefs, accelerating the boom and delaying the crash in the recent NFT bubble. We show that the price-volume relationship...
Persistent link: https://www.econbiz.de/10014322885
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Charles Mackay's Own Extraordinary Popular Delusions and the Railway Mania
Odlyzko, Andrew - 2012
Charles Mackay's book "Extraordinary Popular Delusions and the Madness of Crowds" enjoys extraordinarily high renown in the financial industry and among the press and the public. It also has an extraordinarily low reputation among historians.This paper argues that Mackay's sins of commission...
Persistent link: https://www.econbiz.de/10013114090
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Collective Hallucinations and Inefficient Markets : The British Railway Mania of the 1840s
Odlyzko, Andrew - 2010
The British Railway Mania of the 1840s was by many measures the greatest technology mania in history, and its collapse was one of the greatest financial crashes. It has attracted surprisingly little scholarly interest. In particular, it has not been noted that it provides a convincing...
Persistent link: https://www.econbiz.de/10013148906