Investor sentiment and trading behavior

DOI10.1063/5.0011636MaRDI QIDQ5139741zbMATH OpenOpenAlexWikidataFDO

Authors Giovanni Campisi, Silvia Muzzioli

Publication date 10 December 2020

Published in Chaos: An Interdisciplinary Journal of Nonlinear Science (Search for Journal in Brave)

Full work available at URL http://155.185.68.2/wpdemb/0163.pdf

Mathematics Subject Classification ID

Dynamical systems in optimization and economics (37N40) Decision theory (91B06) Financial applications of other theories (91G80)

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Cites work

• A financial market model with endogenous fundamental values through imitative behavior
• An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets
• Empirical properties of asset returns: stylized facts and statistical issues
• Endogenous fluctuations in a simple asset pricing model with heterogeneous agents
• Financial power laws: empirical evidence, models, and mechanisms
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Heterogeneous fundamentalists and imitative processes
• scientific article; zbMATH DE number 1049646 (Why is no real title available?)
• Institutional Investors and Stock Market Volatility
• Long-Term Memory in Stock Market Prices
• Power-law behaviour, heterogeneity, and trend chasing
• The emergence of bull and bear dynamics in a nonlinear model of interacting markets
• The skewness risk premium in equilibrium and stock return predictability
• Time variation of higher moments in a financial market with heterogeneous agents: an analytical approach
• Time-varying economic dominance in financial markets: a bistable dynamics approach
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS

Cited in

(5)

• Uncertainty about fundamental, pessimistic and overconfident traders: a piecewise-linear maps approach
• How news affects the trading behaviour of different categories of investors in a financial market
• scientific article; zbMATH DE number 6796084 (Why is no real title available?)
• A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics
• A multi-market model with heterogeneous agents and switching mechanism

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