Title :
Feedback and stochastic volatility stock pricing model
Author :
Sun You-fa ; Zhang Cheng-ke ; Gao Jing-guang
Author_Institution :
Sch. of Econ. & Manage., Guangdong Univ. of Technol., Guangzhou
Abstract :
Recently feedback mechanism in finance has attracted significant attention from the academic researchers and market practitioners. Within the framework of stochastic volatility model (SVM), a kind of novel stochastic volatility stock pricing model with feedback (SVSPM-F) for Chinese stock market is constructed by taking into account the notable feedbacks effect on stock price. These intricate feedbacks are rooted in the hidden connections among conflicting investorspsila trade decisions, market information and the price itself. Several specific models are designed according to the dynamics of stock price and stock bankerpsilas manipulation modes deduced from existing price manipulation theory, financial practice and statistical surveys to TopView data and Chinese stock forums. Theoretical analysis and numerical simulations demonstrate that new SVSPM-F simulates the trends of real stock price better than the existing SVMs and our previous ones, and specializes in characterizing the complex behaviors of stock price under manipulation.
Keywords :
feedback; pricing; stochastic processes; stock markets; Chinese stock forum; Chinese stock market; feedback mechanism; finance; price manipulation theory; stochastic volatility stock pricing model; Conference management; Engineering management; Feedback; Finance; Financial management; Pricing; Stochastic processes; Stock markets; Support vector machines; Technology management; Feedback; inefficient markets; stochastic volatility model; stock pricing;
Conference_Titel :
Management Science and Engineering, 2008. ICMSE 2008. 15th Annual Conference Proceedings., International Conference on
Conference_Location :
Long Beach, CA
Print_ISBN :
978-1-4244-2387-3
Electronic_ISBN :
978-1-4244-2388-0
DOI :
10.1109/ICMSE.2008.4669069