Can I read Predictable markets? A news-driven model of the stock market on EtoBox?

Predictable markets? A news-driven model of the stock market by Gusev, Maxim; Kroujiline, Dimitri; Govorkov, Boris; Sharov, Sergey V.; Ushanov, Dmitry; Zhilyaev, Maxim is a scholarly article available to read on EtoBox.

What is Predictable markets? A news-driven model of the stock market about?

We attempt to explain stock market dynamics in terms of the interaction among three variables: market price, investor opinion and information flow. We propose a framework for such interaction and apply it to build a model of stock market dynamics which we study both empirically and theoretically. We demonstrate that this model replicates observed market behavior on all relevant timescales (from days to years) reasonably well. Using the model, we obtain and discuss a number of results that pose implications for current market theory and offer potential practical applications.

Author

Gusev, Maxim; Kroujiline, Dimitri; Govorkov, Boris; Sharov, Sergey V.; Ushanov, Dmitry; Zhilyaev, Maxim

Published

2014

Language

EN