2014/04/29 by Maxim Gusev, Gusev, Maxim, Dimitri Kroujiline +9
Economics, Econometrics and Finance · Physics and Astronomy · #FOS: Economics and business #FOS: Physical sciences #General Finance (q-fin.GN) #Physics and Society (physics.soc-ph) #physics.soc-ph #q-fin.GN
paper · pdf · doi:10.48550/arxiv.1404.7364
This is the version accepted for publication in a new journal Algorithmic Finance (http://algorithmicfinance.org). A draft was posted here on 29 April
arxiv created 2014/09/22 · arxiv updated 2014/09/23
We attempt to explain stock market dynamics in terms of the interaction among three variables: market price, investor opinion and information flow. We propose a framework for such interaction and apply it to build a model of stock market dynamics which we study both empirically and theoretically. We demonstrate that this model replicates observed market behavior on all relevant timescales (from days to years) reasonably well. Using the model, we obtain and discuss a number of results that pose implications for current market theory and offer potential practical applications.