на главную поиск contacts


Опубликовано на портале: 03-12-2007
Journal of Finance. 1986.  Vol. 21. P. 529-543. 
The effects of noise on the world, and on our views of the world, are profound. Noise in the sense of a large number of small events is often a causal factor much more powerful than a small number of large events can be. Noise makes trading in financial markets possible, and thus allows us to observe prices for financial assets. Noise causes markets to be somewhat inefficient, but often prevents us from taking advantage of inefficiencies. Noise in the form of uncertainty about future tastes and technology by sector causes business cycles, and makes them highly resistant to improvement through government intervention. Noise in the form of expectations that need not follow rational rules causes inflation to be what it is, at least in the absence of a gold standard or fixed exchange rates. Noise in the form of uncertainty about what relative prices would be with other exchange rates makes us think incorrectly that changes in exchange rates or inflation rates cause changes in trade or investment flows or economic activity. Most generally, noise makes it very difficult to test either practical or academic theories about the way that financial or economic markets work. We are forced to act largely in the dark

Полный текст данной статьи можно найти здесь.

Данная статья ознаменовала начало нового течения в исследовании финансовых рынков - теории шумовой торговли (noise trading). В дальнейшем было написано множество работ, посвященных поведению не рациональных, а т.н. шумовых инвесторов (noise traders) и их влиянию на рыночное равновесие, эффективность фондового рынка и многие другие области. Данная статья будет интересна всем, кто занимается финансовой теорией, изучает эффективность фондовых рынков или процесс их функционирования.
Ключевые слова

См. также:
Ronald Balvers, Yangru Wu, Eric Gilliland
Journal of Finance. 2000.  Vol. 55. No. 2. P. 745-772. 
Daniel R. Vincent, R. Preston McAfee
Games and Economic Behavior. 1997.  Vol. 18. No. 2.
Richard Portes, Helene Rey
EFA Working Papers. 2000.  No. 0014.
Theodore Groves
Econometrica. 1973.  Vol. 41. No. 4. P. 617-631. 
Xenia Matschke
Journal of International Economics. 2003.  No. 61. P. 209-223. 
Steven L. Jones
Journal of Financial Economics. 1993.  Vol. 33. No. 1.
Jonathan David Levin
RAND Journal of Economics. 2001.  Vol. 32. No. 4. P. 657-666.