What does the financial market pricing do? A simulation analysis with a view to systemic volatility, exuberance and vagary

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Tác giả: Yuri Biondi, Simone Righi

Ngôn ngữ: eng

Ký hiệu phân loại: 332.46 Monetary policy

Thông tin xuất bản: 2013

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ID: 161408

Biondi et al. (2012) develop an analytical model to examine the emergent dynamic properties of share market price formation over time, capable to capture important stylized facts. These latter properties prove to be sensitive to regulatory regimes for fundamental information provision, as well as to market confidence conditions among actual and potential investors. Regimes based upon mark-to-market (fair value) measurement of traded security, while generating higher linear correlation between market prices and fundamental signals, also involve higher market instability and volatility. These regimes also incur more relevant episodes of market exuberance and vagary in some regions of the market confidence space, where lower market liquidity further occurs.Comment: 30 pages, 5 figures. 25th Annual EAEPE Conference 2013, Research Area S (Evolutionary Economic Simulation), Paris, November 2013
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