Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1891148 | Chaos, Solitons & Fractals | 2016 | 7 Pages |
Abstract
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
Related Topics
Physical Sciences and Engineering
Physics and Astronomy
Statistical and Nonlinear Physics
Authors
Gurjeet Dhesi, Marcel Ausloos,