【主讲】Lei Shi (悉尼科技大学)
【主题】Social Interaction, Stochastic Volatility, and Momentum
【时间】2017年6月5日 (周一) 10：00-11：30
【地点】上海财经大学经济学院楼402室
【语言】英文
【摘要】Social interaction contributes to stochastic volatility and momentum in financial markets. By developing a simple evolutionary model of asset pricing and population game, we incorporate social interaction among investors with information uncertainty and show that social interaction leads to the existence of multiple Nash equilibria that characterize two volatility regimes in asset returns and bi-modal distribution in population dynamics. Consequently, the stochastic switching between the two volatility regimes and the persistent dominance of the population with different beliefs generates mis-pricing (bubbles), stochastic volatility, volatility clustering, and time series momentum in the short-run and reversal in the long-run.
