Price Mean Reversion, Seasonality, and Options Markets
نویسندگان
چکیده
منابع مشابه
Asset price bubbles from heterogeneous beliefs about mean reversion rates
Harrison and Kreps showed in 1978 how the heterogeneity of investor beliefs can drive speculation, leading the price of an asset to exceed its intrinsic value. By focusing on an extremely simple market model – a finite-state Markov chain – the analysis of Harrison and Kreps achieved great clarity but limited realism. Here we achieve similar clarity with greater realism, by considering an asset ...
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ژورنال
عنوان ژورنال: American Journal of Agricultural Economics
سال: 2015
ISSN: 0002-9092,1467-8276
DOI: 10.1093/ajae/aav045