Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
977981 | Physica A: Statistical Mechanics and its Applications | 2008 | 6 Pages |
Abstract
The threshold dynamics can mimic different sources of investor motivation, running the gamut from purely rational information-processing, through rational (but often undesirable) behaviour induced by perverse incentives and moral hazards, to purely psychological effects. The simplest model of this kind precisely conforms to the Efficient Market Hypothesis (EMH) and this allows causal relationships to be established between actions at the agent level and violations of EMH price statistics at the global level. In particular, the effects of herding behaviour and perverse incentives are examined.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
H. Lamba, T. Seaman,