Re: fuzzy finance


Subject: Re: fuzzy finance
From: Paul Victor Birke (nonlinear@home.com)
Date: Sun Feb 20 2000 - 17:36:09 MET


PGreenfinch wrote:
>
> The ERT / Efficient Market Theory sustains that there is only one possible
> asset price at a given moment, the condition being that the market be deep
> and liquid enough and fully informed.

Must be wrong. There is a Fuzzy Price! The price quoted is only one of
a possible number from a small interval set. Usually a Uniform
Distribution defined by {PriceLOW, PriceHIGH} also there is another way
using a sort of Trapezoid FF with {PriceULTRALOW, PriceLOW, PriceMEAN,
PriceHIGH,PriceULTRAHIGH}. The Ultra values define the Trapezoid
boundaries having zero membership value. The Low and High define the
limits of the membership = 1 Uniform Distribution. The Mean may or may
not be in the centre between Low and High.

> The price, with this theory, would result from the stock's "fundamentals"
> - expected profit (future earnings per share),
> - rate of return (by reference with the "riskless rate", measured by the
> government bond's rate, to which is addes a risk premium linked to the stock
> volatility (standard price deviation)
> - a beta coefficient linked to the correlation between the price of the
> stock of an individual company, and the prices in the whole market, measured
> by a market index).
> Well, in practice, stock prices behave more wildly and fuzzily.

Exactly.

> Can anyone tell me if my pricing model (that uses behavioral finance and
> gives a much broader potential price range than the ERT) has some
> resemblance with fuzzy models, and if that could lead to further research
> using fuzzy logic tools ?

Must be so. Sounds more realistic. Fuzzy Finance is slow to come on.
I found a guy at Michigan State about 4 years ago doing a masters on
fuzzy accounting. It gives you the strong impression that Fuzzy
Financial applications are real.

This leads to ideas of Maximized Fuzzy Expectation. You could only find
a few papers on this a few years back.

Why is everyone so slow on the pickup here. Likely disturbs existing
paradigms for sure.
That is what I found!! Too complicated for Management!!

Paul V. Birke, P. Eng. NN Researcher in Guelph ON CANADA

> _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _
> Behavioral stock pricing:
> http://perso.wanadoo.fr/pgreenfinch/

-- 
-----------------------------------------------------
Click here for Free Video!!
http://www.gohip.com/freevideo/

############################################################################ This message was posted through the fuzzy mailing list. (1) To subscribe to this mailing list, send a message body of "SUB FUZZY-MAIL myFirstName mySurname" to listproc@dbai.tuwien.ac.at (2) To unsubscribe from this mailing list, send a message body of "UNSUB FUZZY-MAIL" or "UNSUB FUZZY-MAIL yoursubscription@email.address.com" to listproc@dbai.tuwien.ac.at (3) To reach the human who maintains the list, send mail to fuzzy-owner@dbai.tuwien.ac.at (4) WWW access and other information on Fuzzy Sets and Logic see http://www.dbai.tuwien.ac.at/ftp/mlowner/fuzzy-mail.info (5) WWW archive: http://www.dbai.tuwien.ac.at/marchives/fuzzy-mail/index.html



This archive was generated by hypermail 2b25 : Thu Apr 06 2000 - 15:59:45 MET DST