کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5069241 | 1476982 | 2017 | 5 صفحه PDF | دانلود رایگان |
- We develop a stock price dynamics model considering social network communication in financial markets.
- The movement of prices depends on the topologies of social networks and the communication effect.
- A price self-organising system is established by introducing a nonlinear feedback effect of historical returns.
- Bubbles and crashes are explained as alternate strong positive and negative self-reinforcing processes of prices.
A stock price dynamics model is developed in consideration of social network communication in financial markets. Considering a nonlinear feedback effect of price returns, we establish a self-organising system of price dynamics. Results show that the movement of prices depends on the topologies of networks and the communication effect. Furthermore, the self-reinforcing feature of price dynamics is explored and bubbles and crashes are explained as alternate strong positive and negative self-reinforcing processes of prices.
Journal: Finance Research Letters - Volume 22, August 2017, Pages 197-201