Please use this identifier to cite or link to this item:
Title: Modelling and measuring the irrational behaviour of agents in financial markets: Discovering the psychological soliton
Authors: Dhesi, G.
Ausloos, Marcel
First Published: 23-Jan-2016
Publisher: Elsevier for Pergamon
Citation: Chaos, Solitons and Fractals, 2016, 88, pp. 119-125 (7)
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.
DOI Link: 10.1016/j.chaos.2015.12.015
ISSN: 0960-0779
Version: Post-print
Status: Peer-reviewed
Type: Journal Article
Rights: Creative Commons “Attribution Non-Commercial No Derivatives” licence CC BY-NC-ND, further details of which can be found via the following link: Archived with reference to SHERPA/RoMEO and publisher website.
Appears in Collections:Published Articles, School of Management

Files in This Item:
File Description SizeFormat 
1601.01553v1.pdfPost-review (final submitted author manuscript)1.56 MBAdobe PDFView/Open

Items in LRA are protected by copyright, with all rights reserved, unless otherwise indicated.