The Damped Fluctuations as a Base of Market Quotations
AbstractIn this article, the author applied the formula of damped fluctuations to explain the process of market quotations. The result shows that assimilation by the market of any new information takes place alongside two simultaneous processes: a sudden wide spread in the quotation values, which then narrows and comes to nothing, and a gradually growing perception by the market of the new price level, that is, the quantitative measure of new information being assimilated.
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Bibliographic InfoPaper provided by Moscow State University, Faculty of Economics in its series Working Papers with number 0003.
Length: 7 pages
Date of creation: Aug 2011
Date of revision:
Publication status: Published
Pricing Model; Market Quotations; Information; Damped Fluctuations;
Find related papers by 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
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