Real world financial dynamics daily do challenge the credibility of the Efficient Market Hypothesis, to the extent that a strand of skeptical thought, the Behavioural Finance, has been booming. The question whether a model exists able to make consistent the two paradigms is a living matter that financial markets demand to address. The paper deals with a parsimonious stochastic model able to include as special cases both market efficiency and "psychological" phenomena such as the underreaction and the overreaction, peculiar features of the behavioural finance. The great readability of the model, its capability to agree the controversial results provided by literature on efficient markets and the simplicity of the financial intuition it offers are discussed.

Efficient Market Hypothesis and Behavioural Finance: Reconciling the Opposites through Multifractional Processes with Random Exponent / Bianchi, S.; Pantanella, A.; Pianese, A.. - (2011), pp. 501-510.

Efficient Market Hypothesis and Behavioural Finance: Reconciling the Opposites through Multifractional Processes with Random Exponent

S. Bianchi;
2011

Abstract

Real world financial dynamics daily do challenge the credibility of the Efficient Market Hypothesis, to the extent that a strand of skeptical thought, the Behavioural Finance, has been booming. The question whether a model exists able to make consistent the two paradigms is a living matter that financial markets demand to address. The paper deals with a parsimonious stochastic model able to include as special cases both market efficiency and "psychological" phenomena such as the underreaction and the overreaction, peculiar features of the behavioural finance. The great readability of the model, its capability to agree the controversial results provided by literature on efficient markets and the simplicity of the financial intuition it offers are discussed.
2011
8th AFE. International Conference on Applied Financial Economics
9789604660865
02 Pubblicazione su volume::02a Capitolo o Articolo
Efficient Market Hypothesis and Behavioural Finance: Reconciling the Opposites through Multifractional Processes with Random Exponent / Bianchi, S.; Pantanella, A.; Pianese, A.. - (2011), pp. 501-510.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1369378
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