کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5099757 | 1478709 | 2006 | 19 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Self-organization and the persistence of noise in financial markets
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله

چکیده انگلیسی
A dynamic model of financial markets with learning is demonstrated to produce a self-organized system that displays critical behavior. The price contains private information that traders learn to extract and employ to forecast future value. Since the price reflects the beliefs of the traders, the learning process is self-referencing. As the market learns to correctly extract information from the price, the market deemphasizes private information. Despite the convergence of the model towards the parameters producing efficiency, pricing deviations remain constant due to the increased sensitivity of the price to small errors in information extraction produced by the model's own convergence.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 30, Issues 9â10, SeptemberâOctober 2006, Pages 1837-1855
Journal: Journal of Economic Dynamics and Control - Volume 30, Issues 9â10, SeptemberâOctober 2006, Pages 1837-1855
نویسندگان
David Goldbaum,