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Evolutionary Dynamics of Investors Expectations and Market Price Movement

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  • Inga Ivanova

Abstract

The paper presents a step forward into the development of the theory of meaning. Stock and financial markets are examined from communication-theoretical perspective on the dynamics of information and meaning. This study focuses on the link between the dynamics of investors' expectations and market price movement. The model for market asset price dynamiscs, based on non-linear evolutionary equation linking investors' expectations and market asset price movement, is provided. Model predictions are tested on various FX, energy, food, and indices markets along different time frames. The results suggest that model predicted time series is co-integrated with asset time series which implies that the prop[osed model can be used to forecast future price movement.

Suggested Citation

  • Inga Ivanova, 2019. "Evolutionary Dynamics of Investors Expectations and Market Price Movement," Papers 1912.11216, arXiv.org, revised Dec 2023.
    • Handle: RePEc:arx:papers:1912.11216
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    References listed on IDEAS

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    4. Shiller, Robert J, 1981. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?," American Economic Review, American Economic Association, vol. 71(3), pages 421-436, June.
    5. Loet Leydesdorff & Inga A. Ivanova, 2014. "Mutual redundancies in interhuman communication systems: Steps toward a calculus of processing meaning," Journal of the Association for Information Science & Technology, Association for Information Science & Technology, vol. 65(2), pages 386-399, February.
    6. Abhijit V. Banerjee, 1992. "A Simple Model of Herd Behavior," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 107(3), pages 797-817.
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