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The Damped Fluctuations as a Base of Market Quotations

  • Magomet Yandiev

    ()

    (Department of Economics, Lomonosov Moscow State University)

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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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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  1. Robert B. Barsky & J. Bradford De Long, 1992. "Why Does the Stock Market Fluctuate?," NBER Working Papers 3995, National Bureau of Economic Research, Inc.
  2. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-87, September.
  3. Campbell, John Y & Kyle, Albert S, 1993. "Smart Money, Noise Trading and Stock Price Behaviour," Review of Economic Studies, Wiley Blackwell, vol. 60(1), pages 1-34, January.
  4. 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.
  5. 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.
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