Title :
Stock Pricing Model: Considering the Feedbacks in Investors´ Trade Decision Network
Author :
Sun, You-fa ; Zhang, Cheng-ke ; Liu, Cai-yan
Author_Institution :
Dept. of Inf. & Manage., Guangdong Univ. of Technol., Guangzhou, China
Abstract :
A novel kind of stock pricing model with feedback (SPMF) in the framework of stochastic volatility model is investigated by taking into account the complexity and underlying feedbacks in trade decision network of three kinds of investors. Several specific stock pricing models are designed according to the specific initial setting of trade decision network. Theoretical analysis and numerical simulation show that new SPMF covers the existing stochastic volatility models and our previous works, and specializes in characterizing the complex behaviors of stock price under manipulation.
Keywords :
investment; numerical analysis; stochastic processes; stock markets; investors trade decision network; numerical simulation; stochastic volatility model; stock price complex behavior; stock pricing model; theoretical analysis; Adaptive control; Feedback; Finance; Information management; International Committee; Numerical simulation; Pricing; Stochastic processes; Sun; Technology management;
Conference_Titel :
Management and Service Science, 2009. MASS '09. International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-4638-4
Electronic_ISBN :
978-1-4244-4639-1
DOI :
10.1109/ICMSS.2009.5302202
