Price Dynamics and Investor Mobility

Woongki Lee
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Woongki Lee: Yonsei University

No vpxqk_v1, SocArXiv from Center for Open Science

Abstract: This study develops an equilibrium framework for asset price dynamics under heterogeneous investor beliefs. It shows that price changes admit three equivalent representations, each linked to a distinct channel: group dominance, order imbalance, and participation tilt. As an application of the third representation, the study introduces investor mobility as a measure of how actively investors shift their participation across belief groups over time. Higher mobility indicates greater changes in investor composition and, for a given level of forecast dispersion, larger price movements. The study implements this concept empirically by constructing and analyzing a market-wide series of investor mobility.

Date: 2026-08-06
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Persistent link: https://EconPapers.repec.org/RePEc:osf:socarx:vpxqk_v1

DOI: 10.31235/osf.io/vpxqk_v1

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