TY - JOUR

T1 - Стадное поведение на фондовом рынке: анализ и прогнозирование

AU - Светлов, Кирилл Владимирович

PY - 2019

Y1 - 2019

N2 - We study the Alfarano model, which describes the dynamics of the stock price under the influence of the herding behavior of market participants. Within the framework of this model, two types of economic agents are distinguished: investors and noise traders. It is assumed that among traders there are optimistic traders expecting price value to rise and pessimistic traders expecting it to decline. The stochastic nature of the price in this model is formed by the changes of noise traders expectations. Unlike other stochastic models of price dynamics the price obtained within the framework of this model is bounded, while its boundaries are determined by the parameter of the market sensitivity to the changes of traders expectations. Using the diffusion approximation for the Markov process describing the ratio of numbers of optimistic and pessimistic traders, we analyze this model. Depending on the input parameters, we study such aspects of this model as the possibility of reaching price boundaries, when absolutely all traders have optimistic or pessimistic expectations. The main objective of the work is to build a forecast for future price values, including their long term asypthotics, as well as to derive the formulas for determining the value of derivatives (such as european call option) and to investigate the possibility of their hedging.

AB - We study the Alfarano model, which describes the dynamics of the stock price under the influence of the herding behavior of market participants. Within the framework of this model, two types of economic agents are distinguished: investors and noise traders. It is assumed that among traders there are optimistic traders expecting price value to rise and pessimistic traders expecting it to decline. The stochastic nature of the price in this model is formed by the changes of noise traders expectations. Unlike other stochastic models of price dynamics the price obtained within the framework of this model is bounded, while its boundaries are determined by the parameter of the market sensitivity to the changes of traders expectations. Using the diffusion approximation for the Markov process describing the ratio of numbers of optimistic and pessimistic traders, we analyze this model. Depending on the input parameters, we study such aspects of this model as the possibility of reaching price boundaries, when absolutely all traders have optimistic or pessimistic expectations. The main objective of the work is to build a forecast for future price values, including their long term asypthotics, as well as to derive the formulas for determining the value of derivatives (such as european call option) and to investigate the possibility of their hedging.

KW - herding behavior

KW - option pricing

KW - stochastic dynamics

UR - http://www.mendeley.com/research/herding-behaviour-stock-market-analysis-forecasting

U2 - 10.31857/S042473880003987-4

DO - 10.31857/S042473880003987-4

M3 - статья

VL - 55

SP - 81

EP - 97

JO - ЭКОНОМИКА И МАТЕМАТИЧЕСКИЕ МЕТОДЫ

JF - ЭКОНОМИКА И МАТЕМАТИЧЕСКИЕ МЕТОДЫ

SN - 0424-7388

IS - 2

ER -