Skip to main content

Expectations and News in an Imitative Stock-Market

  • Conference paper
Financial Modelling

Part of the book series: Contributions to Management Science ((MANAGEMENT SC.))

Abstract

A basic starting point, in describing the literature about the causes of stock market prices movements, is the trivial evidence that the analysis is roughly split in two main parts: the theoretical and the empirical one, with clear problems of communication.

The Authors are deeply indebted with an anonymous referee for useful remarks and suggestions that have improved this research. The responsibility of the authors for the remaining mistakes is full and exclusive.

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD 84.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD 109.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  • Arrow K. J. (1984), The economics of information, Oxford, Basil Blackwell.

    Google Scholar 

  • Boring E. G. (1950), A History of Experimental Psychology, Appleton Century-Crofts, New York.

    Google Scholar 

  • Cenci M. Cerquetti A. (1991), ‘Modelli evolutivi per un mercato azionario con valori fondamentali variabili nel tempo e asimmetria di informazioni’, Atti del XV Convegno AMASES, Grado.

    Google Scholar 

  • Cenci M. Cerquetti A. (1992), ‘Chi muove i fili del mercato azionario?’, Atti del XVI Convegno AMASES, Treviso.

    Google Scholar 

  • Cornaglia A. (1993), ‘A non-linear model of stock market with istitutionally different agents and imitation’, in J. Stokking AND G. Zambruno (eds.) Recent Research in Financial Modelling, Physica-Verlag, Heidelberg.

    Google Scholar 

  • Cornaglia A. (1991), ‘A non-linear model of stock-market behaviour and imitation’, Quaderni dell’Istituto di Matematica Finanziaria dell’Università di Torino, Serie III, N. 62.

    Google Scholar 

  • Eiser J. R. (1984), Cognitive Social Psychology, McGraw-Hill Book Co., Maidenhead (Berkshire), UK.

    Google Scholar 

  • Ferrari L. Peccati L. (1989), ‘Stock market behaviour and imitation: a simple model’ 6th Meeting of the EURO Working Group on Financial Modelling, Liège. Quaderni dell’Istituto di Matematica Finanziaria dell’Universita’ di Torino, Serie III, N. 62.

    Google Scholar 

  • Ferrari L., Luciano E. and Peccati L. (1993) ‘Institutionally different agents in an imitative stock-market with asymmetric information’, in J. Stokking and G. Zambruno (eds.) Recent Research in Financial Modelling, Physica-Verlag, Heidelberg.

    Google Scholar 

  • Gota M.L. Peccati L. (1993), ‘On imitation’, in Flavell R. (ed.): Modelling Reality and Personal Modelling, Physica-Verlag, Heidelberg.

    Google Scholar 

  • Hall P. Heyde C.C. (1980), Martingale limit theory and its applications, Academic Press, New York.

    Google Scholar 

  • Helson H. (1947) ‘Adaptation-level as frame of reference for prediction of psychophysical data’, American Journal of Psychology, 60, 1–29.

    Article  Google Scholar 

  • Helson H. (1964), ‘Adaptation-level theory’, Harper & Row, New York.

    Google Scholar 

  • Hilgard E.R. Bower G.H. (1966): Theories of Learning, Appleton Century-Crofts, New York.

    Google Scholar 

  • Kahneman D. Slovic P. Tversky A. (1982), Judgment under uncertainty: heuristics and biases, Cambridge University Press, Cambridge.

    Google Scholar 

  • Kyle A.S. (1989), ‘Informed Speculation with Imperfect Competition’, Review of Economic Studies, 56, pp. 317–356.

    Article  Google Scholar 

  • Koenig F. (1985) Rumor in the marketplace, the social psychology of commercial hearsay, Auburn House Publishing Company, Dover.

    Google Scholar 

  • Loistl O. Landes T. (1989), The dynamic pricing of financial assets, McGraw-Hill Book Company, Hamburg.

    Google Scholar 

  • Luciano E. (1989), ‘Equilibrium in a financial market with asymmetric information’, 6th Meeting of the EURO Working Group on Financial Modelling, Liège. Quaderni dell’Istituto di Matematica Finanziaria dell’Universita’ di Torino, Serie III, n. 62.

    Google Scholar 

  • Luciano E. (1993), ‘Market making with irrationalities; the case of a specialist financial market with heterogeneous traders’, in J. Stokking AND G. Zambruno (eds.), Recent Research in Financial Modelling, Physica-Verlag, Heidelberg.

    Google Scholar 

  • Maital S. (1982), Minds, Markets and MoneyPsychological Foundations of Economic Behavior, Basic Books, Inc., Publishers, New York.

    Google Scholar 

  • Phlips L. (1988), The economics of imperfect information, Cambridge University Press, Cambridge.

    Google Scholar 

  • Shiller R. J. (1990), Market volatility, The MIT Press, Cambridge.

    Google Scholar 

  • Smith C.W. (1981), The Mind of The Market — A Study of Stock Market Philosophies, Their Uses, and Their Implications, Croom Helm, London.

    Google Scholar 

  • Werner F. M., De Bondt M. and Thaler R. (1985), ‘Does the stock market overreact ?’, The Journal of Finance, XL, 3, 793–808.

    Google Scholar 

  • Vives X. (1992), ‘The Speed of Information Revelation in a Financial Market Mechanism’, Working Paper Series of the Network in Financial Markets, #16, September.

    Google Scholar 

Download references

Author information

Authors and Affiliations

Authors

Editor information

Editors and Affiliations

Rights and permissions

Reprints and permissions

Copyright information

© 1994 Physica-Verlag Heidelberg

About this paper

Cite this paper

Battistini, E., Ferrari, L., Peccati, L. (1994). Expectations and News in an Imitative Stock-Market. In: Peccati, L., Virén, M. (eds) Financial Modelling. Contributions to Management Science. Physica-Verlag HD. https://doi.org/10.1007/978-3-642-86706-4_8

Download citation

  • DOI: https://doi.org/10.1007/978-3-642-86706-4_8

  • Publisher Name: Physica-Verlag HD

  • Print ISBN: 978-3-7908-0765-3

  • Online ISBN: 978-3-642-86706-4

  • eBook Packages: Springer Book Archive

Publish with us

Policies and ethics