What Does the Financial Market Pricing Do? A Simulation Analysis with a View to Systemic Volatility, Exuberance and Vagary

25th Annual EAEPE Conference 2013, Research Area S (Evolutionary Economic Simulation), Paris, November 2013

Journal of Economic Interaction and Coordination, May 2015. DOI: 10.1007/s11403-015-0159-3

35 Pages Posted: 17 Nov 2013 Last revised: 22 May 2015

See all articles by Yuri Biondi

Yuri Biondi

French National Center for Scientific Research (CNRS)

Simone Righi

Department of Computer Science; University College London - Financial Computing and Analytics Group, Department of Computer Science

Date Written: November 1, 2013

Abstract

Biondi et al. (2012) develop an analytical model to examine the emergent dynamic properties of share market price formation over time, capable to capture important stylized facts. These latter properties prove to be sensitive to regulatory regimes for fundamental information provision, as well as to market confidence conditions among actual and potential investors. Regimes based upon mark-to-market (fair value) measurement of traded security, while generating higher linear correlation between market prices and fundamental signals, also involve higher market instability and volatility. These regimes also incur more relevant episodes of market exuberance and vagary in some regions of the market confidence space, where lower market liquidity further occurs.

Keywords: financial regulation, asset pricing, financial bubbles, market exuberance, market microstructure, common knowledge

JEL Classification: C63, D02, D47, D82, E17, E37, G1, G17, M41, M48

Suggested Citation

Biondi, Yuri and Righi, Simone, What Does the Financial Market Pricing Do? A Simulation Analysis with a View to Systemic Volatility, Exuberance and Vagary (November 1, 2013). 25th Annual EAEPE Conference 2013, Research Area S (Evolutionary Economic Simulation), Paris, November 2013. Available at SSRN: https://ssrn.com/abstract=2355719 or http://dx.doi.org/10.2139/ssrn.2355719

Yuri Biondi (Contact Author)

French National Center for Scientific Research (CNRS) ( email )

IRISSO - University Paris Dauphine PSL
Place Marechal Lattre Tassigny
75016 Paris
France

HOME PAGE: http://yuri.biondi.free.fr/

Simone Righi

Department of Computer Science ( email )

66-72 Gower Street
London, London WC1E 6EA
Great Britain

HOME PAGE: http://https://sites.google.com/view/simone-righi/

University College London - Financial Computing and Analytics Group, Department of Computer Science ( email )

Gower Street
London, WC1E 6BT
United Kingdom

Register to save articles to
your library

Register

Paper statistics

Downloads
109
Abstract Views
935
rank
252,014
PlumX Metrics