Trader Behavior and its Effect on Asset Price Dynamics
type: Item
instance of: scholarly article
title: Trader Behavior and its Effect on Asset Price Dynamics
zbMATH Open document ID: 1169.91344
DOI: 10.1080/13504860802583444
author: James A. Primbs
author: Muruhan Rathinam
published in: Applied Mathematical Finance
publication date: 2009-09-13T00:00:00Z
Mathematics Subject Classification ID: 91B24
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 5603427
zbMATH Keywords: trader behavior
zbMATH Keywords: price dynamics
zbMATH Keywords: stock pinning
zbMATH Keywords: diffusion limit
zbMATH Keywords: Poisson random measure
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1080/13504860802583444
OpenAlex ID: W2021283700
cites work: Lévy Processes and Stochastic Calculus
cites work: Q3721531
cites work: Market volatility and feedback effects from dynamic hedging
cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
cites work: Q4778955
cites work: Q3917278
cites work: Agent-based computational finance: Suggested readings and early research
cites work: Time variation of second moments from a noise trader/infection model
cites work: VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
cites work: On Feedback Effects from Hedging Derivatives
cites work: Agent-based simulation of a financial market
cites work: The Feedback Effect of Hedging in Illiquid Markets
cites work: General Black-Scholes models accounting for increased market volatility from hedging strategies
cites work: Stock Price Distributions with Stochastic Volatility: An Analytic Approach
Recommended article: Asset prices, traders' behavior and market design
Recommended article: Inferring Trader’s Behavior from Prices
Recommended article: TRADER DYNAMICS IN A MODEL MARKET
Recommended article: Speculative behavior and asset price dynamics.
Recommended article: Analysis of a heterogeneous trader model for asset price dynamics
Recommended article: Heterogeneous traders, price-volume signals, and complex asset price dynamics
Recommended article: Asset price dynamics when behavioural heterogeneity varies
Recommended article: Behavioral uncertainty and the dynamics of traders' confidence in their price forecasts
Recommended article: Asset price volatility and trading volume with rational beliefs
description: scientific article