IsNewstheMainReasonWhyMomentumandReversalTakePlaceintheStockMarket文献.pdfVIP

2010 Sixth International Conference on Natural Computation (ICNC 2010) Is News the Main Reason Why Momentum and Reversal Take Place in the Stock Market? Chengyao Wu1 Xindan Li* Haifei Liu1 School of Management and Engineering Nanjing University Nanjing, P. R. China Abstract—This paper focuses on discovering the main reason why but also prices, which is more practical and found by li (2009), the momentum and reversal take place in the stock market. and the long-term reversals were arise by the longer contrarian Taking into consideration of the character of behavior of the trading of uniformed trader’s than the momentum trading of investors, we set up dynamic models to describe the investing informed traders. activities of both informed trader and uninformed trader with bounded rationality. On the foundation of the study on the Nevertheless, the contrarian traders were taking on losing stability of the investment model and observing the evolutionary positions as reported in Bloomfield (2009). So here a doubt has process in controlled laboratory market, we find that the to be put forward: why the traders could endure the losing so sensitive responses of informed traders could keep the market long time? Is it just because of information asymmetry or momentum, and the increasing in the decision weight of something e