We present a methodology to build a new sentiment index of market (ir)rationality. The proposed index, derived only on the basis of equity market prices, could be used to monitor the impact on behavioural-driven agent's choices. In this note, we discuss the main idea behind the proposed approach.

Measuring the impact of behavioural choices on the market prices

Corazzini L.;Costola M.
2014

Abstract

We present a methodology to build a new sentiment index of market (ir)rationality. The proposed index, derived only on the basis of equity market prices, could be used to monitor the impact on behavioural-driven agent's choices. In this note, we discuss the main idea behind the proposed approach.
Mathematical and Statistical Methods for Actuarial Sciences and Finance
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10278/3761732
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