Information and ambiguity: herd and contrarian behaviour in financial markets

J. L. Ford; D. Kelsey; W. Pang

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Information and ambiguity: herd and contrarian behaviour in financial markets

机译：信息和含糊不清：金融市场中的羊群和逆势行为

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The paper studies the impact of informational ambiguity on behalf of informed traders on history-dependent price behaviour in a model of sequential trading in financial markets. Following Chateauneuf et al. (J Econ Theory 137:538–567, 2008), we use neo-additive capacities to model ambiguity. Such ambiguity and attitudes to it can engender herd and contrarian behaviour, and also cause the market to break down. The latter, herd and contrarian behaviour, can be reduced by the existence of a bid-ask spread.

机译：本文研究了在金融市场的顺序交易模型中，代表知情交易者的信息歧义对依赖历史的价格行为的影响。继Chateauneuf等。（J Econ Theory 137：538-567，2008），我们使用新加性能力来模拟歧义。这种模棱两可的态度会引起羊群和逆势行为，并导致市场崩溃。可以通过买卖差价来减少后者的畜群和逆势行为。

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来源
《Theory and Decision》 |2013年第1期|1-15|共15页
作者
J. L. Ford; D. Kelsey; W. Pang;
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作者单位

Department of Economics University of Birmingham">(1);

Department of Economics University of Exeter">(2);

School of Economics Kingston University">(3);

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原文格式 PDF
正文语种 eng
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关键词
Ambiguity; Choquet expected utility; Generalised Bayesian update; Optimism; Herding; Contrarian behaviour;

机译：含糊不清;Choquet预期效用;广义贝叶斯更新;乐观;放牧逆向行为;

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1. Information and ambiguity: herd and contrarian behaviour in financial markets [J] . J. L. Ford, D. Kelsey, W. Pang Theory and Decision . 2013,第1期

机译：信息和含糊不清：金融市场中的羊群和逆势行为
2. Herding, contrarianism and delay in financial market trading [J] . Andreas Park, Daniel Sgroi European Economic Review . 2012,第6期

机译：羊群，逆势和金融市场交易的延迟
3. HERDING AND CONTRARIAN BEHAVIOR IN FINANCIAL MARKETS [J] . Andreas Park, Hamid Sabourian Econometrica . 2011,第4期

机译：金融市场中的羊群和反向行为
4. A Partially Rational Model for Financial Markets: The Role of Social Interactions on Herding and Market Inefficiency [C] . Lorenzo Giannini, Fabio Della Rossa, Pietro DeLellis International Conference on Complex Networks and Their Applications . 2020

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5. Do contrarian and momentum strategies work in a global financial crisis period? Evidence from Asia Pacific stock markets. [D] . Tai, Yu-Nan. 2013

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6. A Financial Market Model Incorporating Herd Behaviour [O] . Christopher M. Wray, Steven R. Bishop -1

机译：包含羊群行为的金融市场模型
7. Information and ambiguity: herd and contrarian behaviour in financial markets [O] . Ford, J.L., Kelsey, David, Pang, Wei 2014

机译：信息和含糊不清：金融市场中的羊群和逆势行为

Information and ambiguity: herd and contrarian behaviour in financial markets

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