Why have asset price properties changed so little in 200 years

Jean-Philippe Bouchaud and Damien Challet

Papers from arXiv.org

Abstract: We first review empirical evidence that asset prices have had episodes of large fluctuations and been inefficient for at least 200 years. We briefly review recent theoretical results as well as the neurological basis of trend following and finally argue that these asset price properties can be attributed to two fundamental mechanisms that have not changed for many centuries: an innate preference for trend following and the collective tendency to exploit as much as possible detectable price arbitrage, which leads to destabilizing feedback loops.

Date: 2016-05
New Economics Papers: this item is included in nep-his and nep-hpe
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Citations: View citations in EconPapers (5)

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Working Paper: Why have asset price properties changed so little in 200 years (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1605.00634

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