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Title: Traders structure and the process for speculative assets price Authors:  Haibin Xie - University of International Business and Economics (China) [presenting]
Abstract: Heterogeneity is of great importance in determining assets price. With the assumption that financial markets are structured with optimistic traders and pessimistic traders, the aim is to derive analytically from equilibrium theory that process for speculative assets price is fully determined by traders structure and could be summarized by a difference of two additive gamma processes, termed AG. The AG model not only could reproduce all these well documented facts in empirical finance but also predicts that assets of high liquidity tend to be less volatile. The AG process implies that market sentiment is of great importance in asset pricing. Anyway, the AG process is a good alternative candidate for speculative assets price.