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The Damped Fluctuations as a Base of Market Quotations

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Author Info

  • Magomet Yandiev

    ()
    (Department of Economics, Lomonosov Moscow State University)

Abstract

In 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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File URL: http://www.econ.msu.ru/ext/lib/Category/x1a/xb1/6833/file/0003.pdf
File Function: First version, 2011
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Bibliographic Info

Paper provided by Moscow State University, Faculty of Economics in its series Working Papers with number 0003.

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Length: 7 pages
Date of creation: Aug 2011
Date of revision:
Publication status: Published
Handle: RePEc:upa:wpaper:0003

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Related research

Keywords: Pricing Model; Market Quotations; Information; Damped Fluctuations;

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References

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  1. Campbell, J.Y. & Kyle, A.S., 1988. "Smart Money, Noise Trading And Stock Price Behavior," Papers 95, Princeton, Department of Economics - Financial Research Center.
  2. Ross, Stephen A, 1977. "The Capital Asset Pricing Model (CAPM), Short-Sale Restrictions and Related Issues," Journal of Finance, American Finance Association, vol. 32(1), pages 177-83, March.
  3. Barsky, Robert B & De Long, J Bradford, 1993. "Why Does the Stock Market Fluctuate?," The Quarterly Journal of Economics, MIT Press, vol. 108(2), pages 291-311, May.
  4. Chow, Gregory C. & Fan, Zhao-zhi & Hu, Jin-yan, 1999. "Shanghai Stock Prices as Determined by the Present-Value Model," Journal of Comparative Economics, Elsevier, vol. 27(3), pages 553-561, September.
  5. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-87, September.
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Cited by:
  1. Magomet Yandiev & Alexander Pakhalov, 2013. "The Relationship Between Stock Market Parameters and Interbank Lending Market: an Empirical Evidence," Papers 1309.5703, arXiv.org.

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