Modelling and measuring the irrational behaviour of agents in financial markets: Discovering the psychological soliton
Journal article
Dhesi, G and Ausloos, M (2016). Modelling and measuring the irrational behaviour of agents in financial markets: Discovering the psychological soliton. Chaos, Solitons and Fractals. 88 (July), pp. 119-125. https://doi.org/10.1016/j.chaos.2015.12.015
Authors | Dhesi, G and Ausloos, M |
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Abstract | © 2015 Elsevier Ltd.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. |
Keywords | q-fin.TR; q-fin.TR; q-fin.MF; 01 Mathematical Sciences; 09 Engineering; 08 Information And Computing Sciences; Mathematical Physics |
Year | 2016 |
Journal | Chaos, Solitons and Fractals |
Journal citation | 88 (July), pp. 119-125 |
Publisher | Elsevier |
ISSN | 0960-0779 |
Digital Object Identifier (DOI) | https://doi.org/10.1016/j.chaos.2015.12.015 |
Web address (URL) | https://www.sciencedirect.com/science/article/abs/pii/S0960077915004336?via%3Dihub |
Publication dates | |
23 Jan 2016 | |
Publication process dates | |
Deposited | 08 Mar 2017 |
Accepted | 16 Dec 2015 |
Accepted author manuscript | License File Access Level Open |
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