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.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Arrow K. J. (1984), The economics of information, Oxford, Basil Blackwell.
Boring E. G. (1950), A History of Experimental Psychology, Appleton Century-Crofts, New York.
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.
Cenci M. Cerquetti A. (1992), ‘Chi muove i fili del mercato azionario?’, Atti del XVI Convegno AMASES, Treviso.
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.
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.
Eiser J. R. (1984), Cognitive Social Psychology, McGraw-Hill Book Co., Maidenhead (Berkshire), UK.
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.
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.
Gota M.L. Peccati L. (1993), ‘On imitation’, in Flavell R. (ed.): Modelling Reality and Personal Modelling, Physica-Verlag, Heidelberg.
Hall P. Heyde C.C. (1980), Martingale limit theory and its applications, Academic Press, New York.
Helson H. (1947) ‘Adaptation-level as frame of reference for prediction of psychophysical data’, American Journal of Psychology, 60, 1–29.
Helson H. (1964), ‘Adaptation-level theory’, Harper & Row, New York.
Hilgard E.R. Bower G.H. (1966): Theories of Learning, Appleton Century-Crofts, New York.
Kahneman D. Slovic P. Tversky A. (1982), Judgment under uncertainty: heuristics and biases, Cambridge University Press, Cambridge.
Kyle A.S. (1989), ‘Informed Speculation with Imperfect Competition’, Review of Economic Studies, 56, pp. 317–356.
Koenig F. (1985) Rumor in the marketplace, the social psychology of commercial hearsay, Auburn House Publishing Company, Dover.
Loistl O. Landes T. (1989), The dynamic pricing of financial assets, McGraw-Hill Book Company, Hamburg.
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.
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.
Maital S. (1982), Minds, Markets and Money — Psychological Foundations of Economic Behavior, Basic Books, Inc., Publishers, New York.
Phlips L. (1988), The economics of imperfect information, Cambridge University Press, Cambridge.
Shiller R. J. (1990), Market volatility, The MIT Press, Cambridge.
Smith C.W. (1981), The Mind of The Market — A Study of Stock Market Philosophies, Their Uses, and Their Implications, Croom Helm, London.
Werner F. M., De Bondt M. and Thaler R. (1985), ‘Does the stock market overreact ?’, The Journal of Finance, XL, 3, 793–808.
Vives X. (1992), ‘The Speed of Information Revelation in a Financial Market Mechanism’, Working Paper Series of the Network in Financial Markets, #16, September.
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights 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