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Rapport Année : 2011

Financial Markets Dynamics

Alain Bretto
Joël Priolon
  • Fonction : Auteur

Résumé

The volatility of stock prices is di cult to explain within the con nes of rational pric- ing models. Changes in prices have become permanent at both the individual and the aggregate level. Therefore, when keeping the hypothesis of a rational behavior of agents, we need to give a new explanation to the price settlement of nancial assets at any mo- ment of time. In a model based on an original mathematical framework, we introduce persistent time- varying prices resulting from rational strategic interactions of agents. We demonstrate that in a close to equilibrium market, actual prices give the best approximation of funda- mental value; We also explain why, in some circumstances, rational behavior may lead to the development of a bubble or the surge of a nancial crisis.

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Dates et versions

hal-01058611 , version 1 (27-08-2014)

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  • HAL Id : hal-01058611 , version 1
  • PRODINRA : 314094

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Alain Bretto, Joël Priolon. Financial Markets Dynamics. 2011. ⟨hal-01058611⟩
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