The debate of actuality concerns room occupied by the nonlinear models within modelling of the financial sets. To justify the nonlinearity inherent to these sets dynamics, we explore effects of the microstructure of the financial market and teachings of the behaviour finance theory (i.e. transaction costs, asymmetry of information, heterogeneity of investors, mimetic). We show that the presence of transaction costs dissuades the arbitration, limits transactions, deprives prices to fit linearly and continually and induces asymmetric deviations course.
Download Info
To our knowledge, this item is not available for
download. To find whether it is available, there are three
options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page
whether it is in fact available.
3. Perform a search for a similarly titled item that would be
available.
Publisher Info
Paper provided by University of Paris West - Nanterre la Défense, EconomiX in its series EconomiX Working Papers with number
2006-20.
Length: 11 pages Date of creation: 2006 Date of revision: Publication status: Published in Euro Mediterranean Economics and Finance Review, Vol.1, N°5, December 2006 Handle: RePEc:drm:wpaper:2006-20