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
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
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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
Journal: Journal of Economic Dynamics and Control - Volume 80, July 2017, Pages 34-53
نویسندگان
Noemi Schmitt, Frank Westerhoff,