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Results for “anchoring” · papers 5 · wiki 2
Academic Papers · 5arXiv q-fin live 0 · desk corpus 5
arXiv · arXiv · 2026
An order-book market whose liquidity provision is anchored to a fundamental value carries a restoring force: the price mean-reverts to value and the book refills after a shock. We show this restoring force is a robust intrinsic stabiliser and identify it causally-dialling the anchor down removes the mean-reversion, and a leverage-driven fire-sale then self-sustains. Separately, we ask whether a stressed market transm…
Jan Novotny
arXiv · arXiv · 2026
Traditional multi-population models, such as the Li-Lee framework, rely on the assumption of mean-reverting country-specific deviations. However, recent data from high-longevity clusters suggest a systemic break in this paradigm. We identify a stationarity paradox where mortality residuals in countries like Sweden and West Germany exhibit persistent unit roots, leading to a systematic mispricing of longevity risk in …
Davide Rindori
arXiv · arXiv · 2016
This paper discusses a novel explanation for asymmetric volatility based on the anchoring behavioral pattern. Anchoring as a heuristic bias causes investors focusing on recent price changes and price levels, which two lead to a belief in continuing trend and mean-reversion respectively. The empirical results support our theoretical explanation through an analysis of large price fluctuations in the S&P 500 and the res…
Mihaly Ormos, Dusan Timotity
arXiv · arXiv · 2007
Anchoring is a term used in psychology to describe the common human tendency to rely too heavily (anchor) on one piece of information when making decisions. A trading algorithm inspired by biological motors, introduced by L. Gil\cite{Gil}, is suggested as a testing ground for anchoring in financial markets. An exact solution of the algorithm is presented for arbitrary price distributions. Furthermore the algorithm is…
Jorgen Vitting Andersen
arXiv · arXiv · 2025
Estimating lifetime probabilities of default (PDs) under IFRS~9 and CECL requires projecting point--in--time transition matrices over multiple years. A persistent weakness is that macroeconomic forecast errors compound across horizons, producing unstable and volatile PD term structures. This paper reformulates the problem in a state--space framework and shows that a direct Kalman filter leaves non--vanishing variabil…
Vahab Rostampour
Option Blackboard · 0
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