Publication detail

On Martingale Diffusions in Financial Markets

Author(s): prof. Ing. Miloslav Vošvrda CSc.,
Type: IES Working Papers
Year: 2001
Number: 10
ISSN / ISBN:
Published in: IES WP 2001/10
Publishing place: Prague
Keywords: heterogeneity of expectations, forecasting rules, fundamentals, trend extrapolators
JEL codes: G10, G12, G14
Suggested Citation:
Abstract: The heterogeneity of expectations among traders introduces an important non-linearity into the financial markets. Heterogeneous formations asset price are characterized by phases of close-to-the-fundamental-price fluctuations via martingale diffusions. In this paper will be discussed a position of fundamentals and their influence to the economic stability.
Downloadable: WP 10

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