Belief aggregation in financial markets and the nature of price fluctuations
We present a model of financial markets, where the belief of the market, expressed by a normal distribution over asset returns, is formed by aggregating in a dynamically consistent way individual subjective beliefs of the market participants, which are likewise assumed to follow normal distributions...
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| Format: | Book Section |
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Springer International Publishing
2015
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| Online Access: | https://eprints.nottingham.ac.uk/29892/ |