How news affects the trading behaviour of different categories of investors in a financial market

DOI10.1080/14697688.2014.931593zbMath1398.62313arXiv1207.3300OpenAlexW2953390088WikidataQ62570625 ScholiaQ62570625MaRDI QIDQ4683006

Jyrki Piilo, Michele Tumminello, Fabrizio Lillo, Salvatore Miccichè, Rosario Nunzio Mantegna

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1207.3300

zbMATH Keywords

financial marketsheterogeneity of agentsinvestor behaviourempirical time series analysisinformation in capital markets

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites Work

• A new look at the statistical model identification
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