Communication impacting financial markets - Jørgen Vitting Andersen, Ioannis Vrontos, Petros...
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Communication impacting financial markets SYstemic Risk TOmography: Signals, Measurements, Transmission Channels, and Policy Interventions Jørgen Vitting Andersen, Ioannis Vrontos, Petros Dellaportas and Serge Galam CFE 2013, London – 14-16 December 2013
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Transcript of Communication impacting financial markets - Jørgen Vitting Andersen, Ioannis Vrontos, Petros...
Communication
impacting financial
markets
SYstemic Risk TOmography: Signals, Measurements, Transmission Channels, and Policy Interventions
Jørgen Vitting Andersen, Ioannis Vrontos, Petros Dellaportas and Serge Galam
CFE 2013, London – 14-16 December 2013
Link between communication and its impact on the markets
• r(t) the return of the market, RB(t)=[B(t)-B(t-1)]/B(t), and η(t) Gaussian distributed with zero mean and std. dev.: