Modelling and measuring the irrational behaviour of agents in financial markets: Discovering the psychological soliton

被引：17
|
作者：
Dhesi, Gurjeet [1 ]
Ausloos, Marcel [2 ,3 ,4 ]
机构：
[1] London S Bank Univ, Sch Business, 103 Borough Rd, London SE1 0AA, England
[2] Univ Leicester, Sch Management, Univ Rd, Leicester LE1 7RH, Leics, England
[3] GRAPES, Rue Belle Jardiniere 483, B-4031 Angleur, Belgium
[4] Royal Netherlands Acad Arts & Sci, eHumanitiesgrp, Joan Muyskenweg 25, NL-1096 CJ Amsterdam, Netherlands
来源：
CHAOS SOLITONS & FRACTALS | 2016年 / 88卷
关键词：
Geometric Brownian Motion; Irrational fractional Brownian Motion; Irrational behaviour; Soliton; PRICING MODEL; STOCK; PRICES; CHAOS;
D O I：
10.1016/j.chaos.2015.12.015
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
Following a Geometrical Brownian Motion extension into an Irrational fractional Brownian Motion model, we re-examine agent behaviour reacting to time dependent news on the log-returns thereby modifying a financial market evolution. We specifically discuss the role of financial news or economic information positive or negative feedback of such irrational (or contrarian) agents upon the price evolution. We observe a kink-like effect reminiscent of soliton behaviour, suggesting how analysts' forecasts errors induce stock prices to adjust accordingly, thereby proposing a measure of the irrational force in a market. (C) 2015 Elsevier Ltd. All rights reserved.
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页码：119 / 125
页数：7
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