IDEAS home Printed from https://ideas.repec.org/p/drm/wpaper/2006-20.html
   My bibliography  Save this paper

Coûts de transaction et dynamique non-linéaire des prix des actifs financiers : une note théorique

Author

Listed:
  • Slim Chaouachi
  • Fredj Jawadi

Abstract

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.

Suggested Citation

  • Slim Chaouachi & Fredj Jawadi, 2006. "Coûts de transaction et dynamique non-linéaire des prix des actifs financiers : une note théorique," EconomiX Working Papers 2006-20, University of Paris Nanterre, EconomiX.
    • Handle: RePEc:drm:wpaper:2006-20
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below 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.

    More about this item

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:drm:wpaper:2006-20. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Valerie Mignon (email available below). General contact details of provider: https://edirc.repec.org/data/modemfr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.