68 citations · 110 across the 6 of their papers we have counts for
Showing 2016Show all
2 papers · 1 filter
q-fin.PR2016
Unravelling the Asymmetric Volatility Puzzle: A Novel Explanation of Volatility Through Anchoring
Mihaly Ormos, Dusan Timotity
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 pric…
q-fin.TR2016★ 22 cited
Market Microstructure During Financial Crisis: Dynamics of Informed and Heuristic-Driven Trading
Mihaly Ormos, Dusan Timotity
We implement a market microstructure model including informed, uninformed and heuristic-driven investors, which latter behave in line with loss-aversion and mental accounting. We s…