Piccione, Michele and Spiegler, Ran (2014) Manipulating market sentiment. Economics Letters, 122 (2). pp. 370-373. ISSN 0165-1765
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Identification Number: 10.1016/j.econlet.2013.12.021
Abstract
We analyze a simple model of an asset market, in which a large rational trader interacts with “noise speculators” who seek short-run speculative gains, and become active following a prolonged episode of mispricing relative to the asset’s fundamental value. The model gives rise to price patterns such as bubble dynamics, positive short-run correlation and vanishing long-run correlation of price deviations from the fundamental value. We argue that this example model sheds light on the question as to whether rational speculators abet or curb price fluctuations.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.journals.elsevier.com/economics-letters... |
| Additional Information: | © 2014 Elsevier B.V. |
| Divisions: | Economics STICERD |
| Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HG Finance |
| Date Deposited: | 10 Feb 2014 17:25 |
| Last Modified: | 07 Nov 2024 01:48 |
| Projects: | 230251 |
| Funders: | European Research Council |
| URI: | http://eprints.lse.ac.uk/id/eprint/55631 |
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