منابع مشابه
Noise Trader Risk in Financial Markets
We present a simple overlapping generations model of an asset market in which irrational noise traders with erroneous stochastic beliefs both affect prices and earn higher expected returns. The unpredictability of noise traders’ beliefs creates a risk in the price of the asset that deters rational arbitrageurs from aggressively betting against them. As a result, prices can diverge significantly...
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The modern society depends on the provision and distribution of information. We observe the development of world-wide information markets. Traders play an important role in these markets, as they bring together supply and demand. In this paper, we describe a simulation study about mechanisms and rules in information markets under special consideration of the role of traders. The usefulness of s...
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We investigate the large-volatility dynamics in financial markets, based on the minutely and daily data of the Chinese Indices and German DAX. The dynamic relaxation both before and after large volatilities is characterized by a power law, and the exponents p± usually vary with the strength of the large volatilities. The large-volatility dynamics is time-reversal symmetric at the minutely time ...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2017
ISSN: 1050-5164
DOI: 10.1214/17-aap1295