文章基本信息

标题：Trading and Fat Tails
本地全文：下载
作者：Robert I Webb
期刊名称：Applied Finance Letters
印刷版ISSN：2253-5799
电子版ISSN：2253-5802
出版年度：2012
卷号：1
期号：1
页码：2-7
DOI：10.24135/afl.v1i1.3
出版社：Tuwhera Open Access Publisher
摘要：Sudden, large price changes periodically occur in speculative markets. Many of these large price moves simply reflect the market’s reaction to new fundamental economic information-- as financial theory would predict. However, some of the most extreme price moves—often characterized (albeit incorrectly) as “Black Swans” in popular parlance--reflect more the predictable behavior of traders in certain situations or poorly designed market microstructures than the arrival of new fundamental information. These trading-induced price moves have important implications for practitioners, policymakers and academics alike.
关键词：fat tails; extreme events; stock price behaviour