Market reaction to price changes and fat-tailed returns

Jorge Sobehart departs from the idealised concept of rational investors, introducing a simple behavioural model of market reaction to price trends that produces fat-tailed distributions of asset returns in close agreement with historical data

Chain reaction

There is hardly a more difficult and timely subject in economics today than the understanding of market behaviour and its impact on asset prices. Changes in prices and market reaction are rarely the idealised random events defined in the academic literature. Price movements are the result of a wide range of events from economic and political changes to shifts in confidence and preferences of market participants. Any meaningful model of price movements has to be able to accommodate both the

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Most read articles loading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here