Price Dynamics And Trader Overconfidence
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Price Dynamics And Trader Overconfidence
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Author : Steffen Ahrens
language : en
Publisher:
Release Date : 2019
Price Dynamics And Trader Overconfidence written by Steffen Ahrens and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
Overconfidence is one of the most important biases in financial markets and commonly associated with excessive trading and asset market bubbles. So far, most of the finance literature takes overconfidence as a given, "static" personality trait. In this paper we introduce a novel experimental design which allows us to track different measures of overconfidence during an asset market bubble. The results show that overconfidence co-moves with asset prices and points towards a feedback loop in which overconfidence adds fuel to the flame of existing bubbles.
Investor Overconfidence Margin Trade And Market Efficiency
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Author : Mingsheng Li
language : en
Publisher:
Release Date : 2017
Investor Overconfidence Margin Trade And Market Efficiency written by Mingsheng Li and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
We investigate the effect of investor overconfidence and margin trades on market efficiency around a market crash. We find that the price delay in a pre-crash period is about twice the price delay in a post-crash period. After a market crash, investors become more sensitive to market movements, resulting in small price delay and high price synchronicity. Margin traders not only trade on market trends but also put additional force on it, escalating the pyramiding and de-pyramiding effects caused by the shift in market sentiment. Finally, our results show that negative information travels slowly only when investors are overconfident.
Overconfidence And Trading Volume
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Author : Markus Glaser
language : en
Publisher:
Release Date : 2007
Overconfidence And Trading Volume written by Markus Glaser and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
Theoretical models predict that overconfident investors will trade more than rational investors. We directly test this hypothesis by correlating individual overconfidence scores with several measures of trading volume of individual investors. Approximately 3,000 online broker investors were asked to answer an internet questionnaire which was designed to measure various facets of overconfidence (miscalibration, volatility estimates, better than average effect). The measures of trading volume were calculated by the trades of 215 individual investors who answered the questionnaire. We find that investors who think that they are above average in terms of investment skills or past performance (but who did not have above average performance in the past) trade more. Measures of miscalibration are, contrary to theory, unrelated to measures of trading volume. This result is striking as theoretical models that incorporate overconfident investors mainly motivate this assumption by the calibration literature and model overconfidence as underestimation of the variance of signals. In connection with other recent findings, we conclude that the usual way of motivating and modeling overconfidence which is mainly based on the calibration literature has to be treated with caution. Moreover, our way of empirically evaluating behavioral finance models - the correlation of economic and psychological variables and the combination of psychometric measures of judgment biases (such as overconfidence scores) and field data - seems to be a promising way to better understand which psychological phenomena actually drive economic behavior.
Advances In Computational Social Science
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Author : Shu-Heng Chen
language : en
Publisher: Springer
Release Date : 2014-05-22
Advances In Computational Social Science written by Shu-Heng Chen and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-05-22 with Business & Economics categories.
This volume is a post-conference publication of the 4th World Congress on Social Simulation (WCSS), with contents selected from among the 80 papers originally presented at the conference. WCSS is a biennial event, jointly organized by three scientific communities in computational social science, namely, the Pacific-Asian Association for Agent-Based Approach in Social Systems Sciences (PAAA), the European Social Simulation Association (ESSA), and the Computational Social Science Society of the Americas (CSSSA). It is, therefore, currently the most prominent conference in the area of agent-based social simulation. The papers selected for this volume give a holistic view of the current development of social simulation, indicating the directions for future research and creating an important archival document and milestone in the history of computational social science. Specifically, the papers included here cover substantial progress in artificial financial markets, macroeconomic forecasting, supply chain management, bank networks, social networks, urban planning, social norms and group formation, cross-cultural studies, political party competition, voting behavior, computational demography, computational anthropology, evolution of languages, public health and epidemics, AIDS, security and terrorism, methodological and epistemological issues, empirical-based agent-based modeling, modeling of experimental social science, gaming simulation, cognitive agents, and participatory simulation. Furthermore, pioneering studies in some new research areas, such as the theoretical foundations of social simulation and categorical social science, also are included in the volume.
Volume Volatility Price And Profit When All Traders Are Above Average
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Author : Terrance Odean
language : en
Publisher:
Release Date : 1998
Volume Volatility Price And Profit When All Traders Are Above Average written by Terrance Odean and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.
People are overconfident. Overconfidence affects financial markets. How depends on who in the market is overconfident and on how information is distributed. This paper examines markets in which price-taking traders, a strategic-trading insider, and risk-averse market-makers are overconfident. Overconfidence increases expected trading volume, increases market depth, and decreases the expected utility of overconfident traders. Its effect on volatility and price quality depend on who is overconfident. Overconfident traders can cause markets to underreact to the information of rational traders. Markets also underreact to abstract, statistical, and highly relevant information, while they overreact to salient, anecdotal, and less relevant information.
Smooth Trading With Overconfidence And Market Power
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Author : Albert S. Kyle
language : en
Publisher:
Release Date : 2017
Smooth Trading With Overconfidence And Market Power written by Albert S. Kyle and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
We describe a symmetric continuous-time model of trading among relatively overconfident, oligopolistic informed traders with exponential utility. Traders agree to disagree about the precisions of their continuous flows of Gaussian private information. The price depends on a trader's inventory (permanent price impact) and the derivative of a trader's inventory (temporary price impact). More disagreement makes the market more liquid; without enough disagreement, there is no trade. Target inventories mean-revert at the same rate as private signals. Actual inventories smoothly adjust toward target inventories at an endogenous rate which increases with disagreement. Faster-than-equilibrium trading generates “flash crashes” by increasing temporary price impact. A “Keynesian beauty contest” dampens price fluctuations.
The Danger Of Investor Overconfidence
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Author : Mingsheng Li
language : en
Publisher:
Release Date : 2017
The Danger Of Investor Overconfidence written by Mingsheng Li and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
We investigate how investor overconfidence and margin trades affect market efficiency around a market crash. We find that the price delay before a crash is about twice the price delay after a crash and that negative information travels slowly only when market sentiment is high because of investor overconfidence and attribution bias. After a market crash, constrained investors become more sensitive to market movements, resulting in high price synchronicity. In addition, margin traders not only trade on market trends but also generate additional momentum in prices, escalating the pyramiding and de-pyramiding effects caused by the shift in market sentiment.
Overconfidence In Currency Markets
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Author : Thomas Oberlechner
language : en
Publisher:
Release Date : 2009
Overconfidence In Currency Markets written by Thomas Oberlechner and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
Dynamic Trading
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Author : Robert C. Miner
language : en
Publisher:
Release Date : 1999
Dynamic Trading written by Robert C. Miner and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with categories.
On The Survival Of Overconfident Traders In A Competitive Securities Market
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Author : DAVID HIRSHEIFER
language : en
Publisher:
Release Date :
On The Survival Of Overconfident Traders In A Competitive Securities Market written by DAVID HIRSHEIFER and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.