Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/238980 
Authors: 
Year of Publication: 
2019
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 12 [Issue:] 2 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-14
Publisher: 
MDPI, Basel
Abstract: 
This paper develops a new methodology in order to study the role of dynamic expectations. Neither reference-point theories nor feedback models are sufficient to describe human expectations in a dynamic market environment. We use an interdisciplinary approach and demonstrate that expectations of non-learning agents are time-invariant and isotropic. On the contrary, learning enhances expectations. We uncover the "yardstick of expectations" in order to assess the impact of market developments on expectations. For the first time in the literature, we reveal new insights about the motion of dynamic expectations. Finally, the model is suitable for an AI approach and has major implications on the behaviour of market participants.
Subjects: 
expectation theory
information theory
AI
risk management
financial dynamics
neuroeconomics
econopyhsics
JEL: 
D84
D83
C61
Y80
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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