Evolutionary Dynamics of Investors Expectations and Market Price Movement

Abstract: The paper presents a step forward into the development of the theory of meaning. Stock and financial markets are examined from communication-theoretical perspective on the dynamics of information and meaning. This study focuses on the link between the dynamics of investors' expectations and market price movement. The model for market asset price dynamiscs, based on non-linear evolutionary equation linking investors' expectations and market asset price movement, is provided. Model predictions are tested on various FX, energy, food, and indices markets along different time frames. The results suggest that model predicted time series is co-integrated with asset time series which implies that the prop[osed model can be used to forecast future price movement.

Date: 2019-12, Revised 2023-12
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1912.11216 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1912.11216

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().