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research article

Modelling price pressure in financial markets

Asparouhova, Elena
•
Bossaerts, Peter  
2009
Journal Of Economic Behavior & Organization

We present experimental evidence that, unlike traditional assumptions in economic theory, security prices do not respond to pressure from their own excess demand. Instead, prices respond to excess demand of all securities, despite the absence of a direct link between markets. We propose a model of price pressure that explains these findings. In our model, agents set order prices that reflect the marginal valuation of desired future holdings, called "aspiration levels."

  • Details
  • Metrics
Type
research article
DOI
10.1016/j.jebo.2009.03.003
Web of Science ID

WOS:000271110900009

Author(s)
Asparouhova, Elena
Bossaerts, Peter  
Date Issued

2009

Published in
Journal Of Economic Behavior & Organization
Volume

72

Start page

119

End page

130

Subjects

Equilibration

•

Financial markets

•

Walrasian tatonnement

•

Global Newton Method

•

Experiments

•

Equilibrium

•

Traders

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
SFI-PB  
Available on Infoscience
November 30, 2010
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/59705
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