Measuring the Impact of Behavioural Choices on the Market Prices

Massimiliano Caporin (), Luca Corazzini () and Michele Costola ()
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Massimiliano Caporin: University of Padova, Department of Economics and Management Marco Fanno
Luca Corazzini: University of Padova, Department of Economics and Management Marco Fanno
Michele Costola: University Ca’ Foscari Venezia, Department of Economics

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2014, pp 53-56 from Springer

Abstract: Abstract We present a methodology to build a new sentiment index of market (ir)rationality. The proposed index, derived only on the basis of equity market prices, could be used to monitor the impact on behavioural-driven agent’s choices. In this note, we discuss the main idea behind the proposed approach.

Keywords: Investment decision; Behavioural agents; Mixture model; Behavioural expectations (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-05014-0_12

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DOI: 10.1007/978-3-319-05014-0_12

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