Information and ambiguity: herd and contrarian behaviour in financial markets

DOI10.1007/S11238-012-9334-3zbMath1273.91422OpenAlexW2165735948WikidataQ57924153 ScholiaQ57924153MaRDI QIDQ365800

Mohammad Hasan, M. Dambrine, H. S. Yoon

Publication date: 9 September 2013

Published in: Theory and Decision (Search for Journal in Brave)

Full work available at URL: https://eprints.kingston.ac.uk/id/eprint/6497/1/herd-081022%2Cdavid%2C_spellchecked%2Coct08.pdf

zbMATH Keywords

ambiguityChoquet expected utilityherdingoptimismcontrarian behaviourgeneralised Bayesian update

Mathematics Subject Classification ID

Decision theory (91B06) Utility theory (91B16) Portfolio theory (91G10)

Related Items (7)

Option implied ambiguity and its information content: evidence from the subprime crisis ⋮ Put-call parity and generalized neo-additive pricing rules ⋮ Piecewise linear rank-dependent utility ⋮ Ambiguous price formation ⋮ Speculative and hedging interaction model in oil and U.S. dollar markets -- phase transition ⋮ On booms that never bust: ambiguity in experimental asset markets with bubbles ⋮ Piecewise additivity for non-expected utility

Cites Work

• CEU preferences and dynamic consistency
• Expected utility with purely subjective non-additive probabilities
• Information, trade and common knowledge
• Recursive multiple-priors.
• Updating Choquet beliefs
• Choice under uncertainty with the best and worst in mind: Neo-additive capacities
• Parameter-Free Elicitation of Utility and Probability Weighting Functions
• What Determines the Shape of the Probability Weighting Function Under Uncertainty?
• Subjective Probability and Expected Utility without Additivity
• A Simple Axiomatization of Nonadditive Expected Utility
• Testing and Characterizing Properties of Nonadditive Measures Through Violations of the Sure-Thing Principle

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