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Stochastic behavioral asset pricing models and the stylized facts

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dc.creator Lux, Thomas
dc.date 2008
dc.date.accessioned 2013-10-16T06:17:58Z
dc.date.available 2013-10-16T06:17:58Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/4310
dc.identifier ppn:570349702
dc.identifier RePEc:zbw:cauewp:7328
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/4310
dc.description High-frequency financial data are characterized by a set of ubiquitous statistical properties that prevail with surprising uniformity. While these 'stylized facts' have been well-known for decades, attempts at their behavioral explanation have remained scarce. However, recently a new branch of simple stochastic models of interacting traders have been proposed that share many of the salient features of empirical data. These models draw some of their inspiration from the broader current of behavioural finance. However, their design is closer in spirit to models of multi-particle interaction in physics than to traditional asset-pricing models. This reflects a basic insight in the natural sciences that similar regularities like those observed in financial markets (denoted as 'scaling laws' in physics) can often be explained via the microscopic interactions of the constituent parts of a complex system. Since these emergent properties should be independent of the microscopic details of the system, this viewpoint advocates negligence of the details of the determination of individuals' market behavior and instead focuses on the study of a few plausible rules of behavior and the emergence of macroscopic statistical regularities in a market with a large ensemble of traders. This chapter will review the philosophy of this new approach, its various implementations, and its contribution to an explanation of the stylized facts in finance.
dc.language eng
dc.publisher Institut für Volkswirtschaftslehre, Kiel
dc.relation Economics working paper / Christian-Albrechts-Universität Kiel, Department of Economics 2008,08
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject ddc:330
dc.subject Börsenkurs
dc.subject Finanzmarkt
dc.subject Stochastischer Prozess
dc.subject Anlageverhalten
dc.subject Agent-based Model
dc.subject Soziale Beziehungen
dc.subject Econophysics
dc.subject Theorie
dc.title Stochastic behavioral asset pricing models and the stylized facts
dc.type doc-type:workingPaper

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