English, Article edition: Trader Behavior and its Effect on Asset Price Dynamics James Primbs; Muruhan Rathinam

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Trader Behavior and its Effect on Asset Price Dynamics
Author
  • James Primbs
  • Muruhan Rathinam
Physical Description
  • article
Notes
  • In this paper, we present a natural mathematical framework to model trader behavior as a continuous time discrete event process, and derive stochastic differential equations for aggregate behavior and price dynamics by passing to diffusion limits. In particular, we model extraneous, value, momentum and hedge traders. Through analysis and numerical simulation we explore some of the effects these trading strategies have on price dynamics.
  • Trader behavior, price dynamics, stock pinning, diffusion limit, Poisson random measure,
  • RePEc:taf:apmtfi:v:16:y:2009:i:2:p:151-181
Language
  • English
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