A new approach to asset pricing with rational agents behaving strategically
| Autor: | Joel Priolon, Alain Bretto |
|---|---|
| Přispěvatelé: | Equipe CODAG - Laboratoire GREYC - UMR6072, Groupe de Recherche en Informatique, Image et Instrumentation de Caen (GREYC), Centre National de la Recherche Scientifique (CNRS)-École Nationale Supérieure d'Ingénieurs de Caen (ENSICAEN), Normandie Université (NU)-Normandie Université (NU)-Université de Caen Normandie (UNICAEN), Normandie Université (NU)-Centre National de la Recherche Scientifique (CNRS)-École Nationale Supérieure d'Ingénieurs de Caen (ENSICAEN), Normandie Université (NU), Economie Publique (ECO-PUB), Institut National de la Recherche Agronomique (INRA)-AgroParisTech, Groupe de Recherche en Informatique, Image, Automatique et Instrumentation de Caen (GREYC), Université de Caen Normandie (UNICAEN), Normandie Université (NU)-Normandie Université (NU)-École Nationale Supérieure d'Ingénieurs de Caen (ENSICAEN), Normandie Université (NU)-Centre National de la Recherche Scientifique (CNRS)-Université de Caen Normandie (UNICAEN), Normandie Université (NU)-Centre National de la Recherche Scientifique (CNRS), AgroParisTech-Institut National de la Recherche Agronomique (INRA) |
| Jazyk: | angličtina |
| Rok vydání: | 2012 |
| Předmět: |
Rational expectations
050208 finance Financial economics Consumption-based capital asset pricing model Mathematical finance 05 social sciences [INFO.INFO-CE]Computer Science [cs]/Computational Engineering Finance and Science [cs.CE] Rational agent Mark to model Microeconomics Investment theory Variable pricing 0502 economics and business Economics Rational pricing 050205 econometrics |
| Zdroj: | IEEE Computational Intelligence for Financial Engineering and Economics (CIFEr 2012) IEEE Computational Intelligence for Financial Engineering and Economics (CIFEr 2012), 2012, New-York, United States. pp.1--7, ⟨10.1109/CIFEr.2012.6327773⟩ CIFEr |
| DOI: | 10.1109/CIFEr.2012.6327773⟩ |
| Popis: | International audience; The volatility of stock prices is difficult to explain within the confines of rational pricing models. Changes in prices have become permanent; Therefore, as we keep the hypothesis of a rational behavior of agents, we must give a new explanation to the pricing of financial assets at any moment of time. In a model based on an original mathematical framework, we introduce persistent time-varying prices resulting from strategic interactions between rational agents. We demonstrate that in a close to equilibrium market, actual prices give the best approximation of the fundamental value; We also explain why, in some circumstances, rational behavior may lead to the development of a bubble or the surge of a financial crisis. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|