EconPapers    
Economics at your fingertips  
 

Anchoring effect on first passage process in Taiwan financial market

Hsing Liu, Chi-Yo Liao, Jing-Yuan Ko and Jiann-Shing Lih

Physica A: Statistical Mechanics and its Applications, 2017, vol. 477, issue C, 114-127

Abstract: Empirical analysis of the price fluctuations of financial markets has received extensive attention because a substantial amount of financial market data has been collected and because of advances in data-mining techniques. Price fluctuation trends can help investors to make informed trading decisions, but such decisions may also be affected by a psychological factors—the anchoring effect. This study explores the intraday price time series of Taiwan futures, and applies diffusion model and quantitative methods to analyze the relationship between the anchoring effect and price fluctuations during first passage process. Our results indicate that power-law scaling and anomalous diffusion for stock price fluctuations are related to the anchoring effect. Moreover, microscopic price fluctuations before switching point in first passage process correspond with long-term price fluctuations of Taiwan’s stock market. We find that microscopic trends could provide useful information for understanding macroscopic trends in stock markets.

Keywords: First passage process; First return time; Switching point; Anchoring effect; Anomalous diffusion (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437117301978
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

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:eee:phsmap:v:477:y:2017:i:c:p:114-127

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Series data maintained by Dana Niculescu ().

 
Page updated 2017-09-29
Handle: RePEc:eee:phsmap:v:477:y:2017:i:c:p:114-127