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Date: Tue, 14 Jan 1997 19:12:34 GMT
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<HEAD><TITLE> Dynamic Inter...</TITLE><BODY><h1> Dynamic Interactions in Financial Markets </h1><strong>authors: Wilbert McClay & Orlee Shohamy<br>Brandeis University<br>Department of Computer Science<br></strong><p>Early observers of financial markets believed in the efficient markethypothesis. This hypothesis claims that financial markets will reachan efficient state where prices of stocks will reflect a rationalforecast of the present value of future dividend payments. The forcesof competition and rational arbitrage would guarantee that pricesadjust to their intrinic values. Today, this theory is considered tobe highly unrealistic. If financial markets were to become efficient,investors would have to know the exact change in a company's stockvalue caused by unanticipated future events. <p>The acceptance of real-life factors, such as imperfect information onbehalf of investors, have produced a new school of thought in markettheory. Today, the idea of fashion and fads in investor attitudes (orother types of systematic "irrationality") affecting stock prices hasgained new respectability. This thinking led to the development of afield named Behavioral Finance. Statistical data and research on stockmarket history have shown that financial markets have severalirrational trends. For example, the New York Stock Exchange Market hasa significantly highere average returns on Fridays than it does onMondays. Such a phenomenon cannot be explained under the assumption ofrational behavior. <p>Utilizing the Maspar (MP2) computer system, we will design a technicalschematic for the interacting agents (investors) and their impact onforty companies in the New York Stock Exchange. We will considerseveral realistic factors such as imperfect information to form amodel regarding investor's decision-making process. Using thesedecisions models, we will then simulate adjustments in stock prices,using non-linear regressional analysis. In doing so, we will find apattern to define the fluctuations in stock prices.. <p>Everday, millions of agents buy and sell stock on the market. Theseinvestor interventions are constantly molding the ever-changing pricesof stocks. We set to examine aspects of this non- rational behaviorin an investors decision making process. We will then focus on theeffect their decisions have on the dynamics of the New York StockExchange Market.<p><Strong><!WA0><A HREF="http://www.cs.brandeis.edu/~agents">BACK TO THE INTERACTION LAB</a></strong> </body></html>⌨️ 快捷键说明
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