Impact of uncertainty in expected return estimation on stock price volatility (CROSBI ID 184624)
Prilog u časopisu | izvorni znanstveni rad | međunarodna recenzija
Podaci o odgovornosti
Kostanjčar, Zvonko ; Jeren, Branko ; Juretić, Željan
engleski
Impact of uncertainty in expected return estimation on stock price volatility
We investigate the origin of volatility in financial markets by de fining an analytical model for time evolution of stock share prices. The defined model is similar to the GARCH class of models, but can additionally exhibit bimodal behaviour in the supply-demand structure of the market. Moreover, it di ffers from existing Ising-type models. It turns out that the constructed model is a solution of a thermodynamic limit of a Gibbs probability measure when the number of traders and the number of stock shares approaches the in nity. The energy functional of the Gibbs probability measure is derived from the Nash equilibrium of the underlying game.
complex systems; financial market; equilibrium states; volatility
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Podaci o izdanju
391 (22)
2012.
5563-5571
objavljeno
0378-4371
10.1016/j.physa.2012.04.031