Publication

Modelling price pressure in financial markets

Peter Bossaerts
2009
Journal Articles

Abstract

We present experimental evidence that, unlike traditional assumptions in economic theory, security prices do not respond to pressure from their own excess demand. Instead, prices respond to excess demand of all securities, despite the absence of a direct link between markets. We propose a model of price pressure that explains these findings. In our model, agents set order prices that reflect the marginal valuation of desired future holdings, called "aspiration levels."

Official source

Graph Chat

Chat with Graph Search

Ask any question about EPFL courses, lectures, exercises, research, news, etc. or try the example questions below.

DISCLAIMER: The Graph Chatbot is not programmed to provide explicit or categorical answers to your questions. Rather, it transforms your questions into API requests that are distributed across the various IT services officially administered by EPFL. Its purpose is solely to collect and recommend relevant references to content that you can explore to help you answer your questions.

Modelling price pressure in financial markets

Chat with Graph Search

Monopoly Pricing with Unknown Demand

The Time‐Varying Price of Financial Intermediation in the Mortgage Market

Energy Management of Price-Maker Community Energy Storage by Stochastic Dynamic Programming