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The Damped Fluctuations as a Base of Market Quotations

Author

Listed:
  • Magomet Yandiev

    (Department of Economics, Lomonosov Moscow State University)

Abstract

In this article, the author applied the formula of damped fluctuations to explain the process of market quotations. The result shows that assimilation by the market of any new information takes place alongside two simultaneous processes: a sudden wide spread in the quotation values, which then narrows and comes to nothing, and a gradually growing perception by the market of the new price level, that is, the quantitative measure of new information being assimilated.

Suggested Citation

  • Magomet Yandiev, 2011. "The Damped Fluctuations as a Base of Market Quotations," Working Papers 0003, Moscow State University, Faculty of Economics.
    • Handle: RePEc:upa:wpaper:0003
    as

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    File URL: https://www.econ.msu.ru/ext/lib/Category/x1a/xb1/6833/file/0003.pdf
    File Function: First version, 2011
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    References listed on IDEAS

    as
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    3. Chow, Gregory C. & Fan, Zhao-zhi & Hu, Jin-yan, 1999. "Shanghai Stock Prices as Determined by the Present-Value Model," Journal of Comparative Economics, Elsevier, vol. 27(3), pages 553-561, September.
    4. Ross, Stephen A, 1977. "The Capital Asset Pricing Model (CAPM), Short-Sale Restrictions and Related Issues," Journal of Finance, American Finance Association, vol. 32(1), pages 177-183, March.
    5. John Y. Campbell & Albert S. Kyle, 1993. "Smart Money, Noise Trading and Stock Price Behaviour," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 60(1), pages 1-34.
    6. Robert B. Barsky & J. Bradford De Long, 1993. "Why Does the Stock Market Fluctuate?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 108(2), pages 291-311.
    7. Michael Lubatkin & William S. Schulze & James J. Nulty & Tony D Yeh, 2003. "But will it raise my share price? new thoughts about an old question," Post-Print hal-02311666, HAL.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Magomet Yandiev & Alexander Pakhalov, 2013. "The relationship between stock market parameters and interbank lending market: an empirical evidence," Working Papers 0002, Moscow State University, Faculty of Economics.
    2. Matveev, Aleksandr, 2014. "Proving the Relation between Stock and Interbank Markets: The Bahrain Stock Exchange," MPRA Paper 85544, University Library of Munich, Germany.

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    More about this item

    Keywords

    Pricing Model; Market Quotations; Information; Damped Fluctuations;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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