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
CFE 2013, London – December, 14 2013
Changing the « bullishness » in a population via communication in subgroups
During the day communication takes place in random subgroups
During the day communication takes place in random subgroups
During the day communication takes place in random subgroups
Quantitative description of model
Groupes of different sizes
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.:
Link between transition probabilities and the market performance
Main results: reproducing stylized facts
Main results: maximum likelihood analysis
Main results: maximum likelihood analysis
This project has received funding from the European Union’s Seventh Framework Programme for research, technological
development and demonstration under grant agreement n° 320270
www.syrtoproject.eu