Word of Mouth : An Agent-based Approach to Predictability of Stock Prices
Word of Mouth : An Agent-based Approach to Predictability of Stock Prices
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口碑：基于代理的股票价格预测方法
DOI：
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发表时间：
2006
期刊：
影响因子：
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通讯作者：
Kyoko Watanabe
中科院分区：
文献类型：
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作者：
T. Shimokawa;T. Misawa;Kyoko Watanabe
本文探讨了投资者之间的沟通过程如何影响金融市场中股票价格的形成，特别是新兴的股票价格可预测性。引入基于代理的模型（称为口碑模型）来分析问题。该模型提供了对信息扩散过程的简单但足够通用的描述，并成功地对小规模股票的可预测性做出了清晰的解释，这是金融市场中的典型事实，但传统模型难以解决。我们的模型还对信息冲击的反应不足假设进行了严格的检验。
This paper addresses how communication processes among investors affect stock prices formation, especially emerging predictability of stock prices, in financial markets. An agent based model, called the word of mouth model, is introduced for analyzing the problem. This model provides a simple, but sufficiently versatile, description of informational diffusion process and is successful in making lucidly explanation for the predictability of small sized stocks, which is a stylized fact in financial markets but difficult to resolve by traditional models. Our model also provides a rigorous examination of the under reaction hypothesis to informational shocks.
DOI：
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发表时间：
2007
期刊：
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影响因子：
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作者：
R. Sekuler;M. Kahana
通讯作者：
R. Sekuler;M. Kahana