8797威尼斯老品牌 - welcome威尼斯
Momentum, Bubble and Information Transmission
主讲人：
闫昱，8797威尼斯老品牌金融系博士生，研究方向为宏观金融、行为金融和资产定价。研究成果发表在Fractal and Fractional和Journal of Mathematical Analysis and Applications等期刊上。
题目：
Momentum, Bubble and Information Transmission
时间：
2022年4月28日周四
12:00-13:30
地点：
8797威尼斯老品牌302会议室
摘要：
We propose a continuous-time heterogeneous beliefs model to integrate the momentum effect, the reversal effect and the bubble into a unified framework. The critical factor is the transmission of information between traders. The transmission of correct information that can persist over time leads to the momentum effect of prices. The transmission of a rumor leads to the bubble and reversal effect of prices. Therefore, incomplete information in the market reduces the effectiveness of prices. Modelling based on multiple information transmissions estimates the movement of stock indices. The results of numerical simulations show that an increase in the speed of information transmission is likely to increase market volatility and thus reduce traders' welfare. Short sale restriction and borrowing limit may theoretically reduce market volatility and thus increase traders' welfare.
供稿单位：8797威尼斯老品牌金融系
供稿人：闫昱
