منابع مشابه
A mean-field model of investor behaviour
In this note we investigate the ability of a mean-field model distilled from the heterogeneous agents model of [7] to simulate stylized facts of financial times series.
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Recent empirical research in finance has uncovered two families of pervasive regularities: underreaction of stock prices to news such as earnings announcements, and overreaction of stock prices to a series of good or bad news. In this paper, we present a parsimonious model of investor sentiment, or of how investors form beliefs, which is consistent with the empirical findings. The model is base...
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متن کاملA Model of Investor Sentiment
Recent empirical research in nance has uncovered two families of pervasive regularities: underreaction of stock prices to news such as earnings announcements, and overreaction of stock prices to a series of good or bad news. In this paper, we present a parsimonious model of investor sentiment, or of how investors form beliefs, which is consistent with the empirical ndings. The model is based on...
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ژورنال
عنوان ژورنال: Journal of Physics: Conference Series
سال: 2006
ISSN: 1742-6588,1742-6596
DOI: 10.1088/1742-6596/55/1/005