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Is it so bad that we cannot recognize black swans?

Author

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  • Aleskerov, Fuad
  • Egorova, Lyudmila

Abstract

We present processes on stock exchange as two random processes one of which reflects the regular regime of economy and the other one–crises. If regular processes are correctly recognized with the probability slightly higher than 1/2, this gives positive average gain to the player. We believe that this very phenomenon lies on the basis of unwillingness of people to expect crises permanently and to try recognizing them.

Suggested Citation

  • Aleskerov, Fuad & Egorova, Lyudmila, 2012. "Is it so bad that we cannot recognize black swans?," Economics Letters, Elsevier, vol. 117(3), pages 563-565.
    • Handle: RePEc:eee:ecolet:v:117:y:2012:i:3:p:563-565
    DOI: 10.1016/j.econlet.2012.04.078
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    Citations

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    Cited by:

    1. Lyudmila G. Egorova, 2014. "Agent-Based Models of Stock Exchange: Analysis via Computational Simulation," Springer Optimization and Its Applications, in: Valery A. Kalyagin & Panos M. Pardalos & Themistocles M. Rassias (ed.), Network Models in Economics and Finance, edition 127, pages 147-158, Springer.
    2. Егорова Людмила Геннадьевна, 2014. "Эффективность Торговых Стратегий Мелких Трейдеров," Проблемы управления, CyberLeninka;Общество с ограниченной ответственностью "СенСиДат-Контрол", issue 5, pages 34-41.
    3. Liudmila G. Egorova, 2014. "The Effectiveness Of Different Trading Strategies For Price-Takers," HSE Working papers WP BRP 29/FE/2014, National Research University Higher School of Economics.
    4. Yarovaya, Larisa & Brzeszczyński, Janusz & Goodell, John W. & Lucey, Brian & Lau, Chi Keung Marco, 2022. "Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    5. Lin, Wen-Yuan & Tsai, I-Chun, 2019. "Black swan events in China's stock markets: Intraday price behaviors on days of volatility," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 395-411.
    6. A. Belenky & L. Egorova, 2016. "Two approaches to modeling the interaction of small and medium price-taking traders with a stock exchange by mathematical programming techniques," Papers 1610.05703, arXiv.org.
    7. Henry Penikas & Proskurin S., 2013. "How Well do Analysts Predict Stock Prices? Evidence from Russia," HSE Working papers WP BRP 18/FE/2013, National Research University Higher School of Economics.

    More about this item

    Keywords

    Financial crises; Stock exchange; Poisson processes;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services

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