𝔖 Bobbio Scriptorium
✦   LIBER   ✦

A theory of fluctuations in stock prices

✍ Scribed by Ángel L. Alejandro-Quiñones; Kevin E. Bassler; Michael Field; Joseph L. McCauley; Matthew Nicol; Ilya Timofeyev; Andrew Török; Gemunu H. Gunaratne


Publisher
Elsevier Science
Year
2006
Tongue
English
Weight
405 KB
Volume
363
Category
Article
ISSN
0378-4371

No coin nor oath required. For personal study only.


📜 SIMILAR VOLUMES


Stock price fluctuations and the mimetic
✍ Jun-ichi Maskawa 📂 Article 📅 2007 🏛 Elsevier Science 🌐 English ⚖ 279 KB

We give a stochastic microscopic modelling of stock markets driven by continuous double auction. If we take into account the mimetic behavior of traders, when they place limit order, our virtual market shows the power-law tail of the distribution of returns with the exponent outside the Levy stable

Market fundamentals versus rational bubb
✍ Nathan S. Balke; Mark E. Wohar 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 469 KB

## Abstract Using Bayesian Markov chain Monte Carlo methods, we decompose the log price‐dividend ratio into a market fundamentals component and a bubble component. The market fundamentals component depends on expectations of future dividend growth and required returns, while the bubble component is