کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5097952 1478665 2017 20 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On the bimodality of the distribution of the S&P 500's distortion: Empirical evidence and theoretical explanations
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
On the bimodality of the distribution of the S&P 500's distortion: Empirical evidence and theoretical explanations
چکیده انگلیسی
After showing that the distribution of the S&P 500's distortion, i.e. the log difference between its real stock market index and its real fundamental value, is bimodal, we demonstrate that agent-based financial market models may explain this puzzling observation. Within these models, speculators apply technical and fundamental analysis to predict asset prices. Since destabilizing technical trading dominates the market near the fundamental value, asset prices tend to be either overvalued or undervalued. Interestingly, the bimodality of the distribution of the S&P 500's distortion confirms an implicit prediction of a number of seminal agent-based financial market models.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 80, July 2017, Pages 34-53
نویسندگان
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