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| Titel: |
Pricing stocks with yardsticks and sentiments |
| Auteur: |
Bustos, Sebastían Martínez Andersen, Jørgen Vitting Miniconi, Michel Nowak, Andrzej Roszczynska-Kurasinska, Magdalena Brée, David |
| Verschenen in: |
Algorithmic finance |
| Paginering: | Jaargang 1 (2012) nr. 2 pagina's 183-190 |
| Jaar: |
2012-08-02 |
| Inhoud: |
Human decision making by professionals trading daily in the stock market can be a daunting task. It includes decisions on whether to keep on investing or to exit from a market subject to huge price swings, and also how to price in news or rumors attributed to a specific stock. The question then arises how professional traders, who specialize in daily buying and selling large amounts of a given stock, know how to properly price a given stock on a given day. Here we introduce the idea that people use heuristics, or “rules of thumb”, in terms of “yard sticks” from the performance of the other stocks in a stock index. The under or over performance with respect to such a yard stick then signifies a general negative or positive sentiment of the market participants towards a given stock. Using empirical data of the Dow Jones Industrial Average, stocks are shown to have daily performances with a clear tendency to cluster around the measures introduced by the yard sticks. We illustrate how sentiments, most likely due to insider information, can influence the performance of a given stock over period of months, and in one case years. |
| Uitgever: |
IOS Press |
| Bronbestand: |
Elektronische Wetenschappelijke Tijdschriften |
Details van artikel 13 van 16 gevonden artikelen
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