Examining the Dynamic Functions of the One-Way and Two-Way Models of Investor Sentiment In Stock Price Momentum IDFT Algorithms

Subject Areas : Journal of Capital Market Analysis

Homayoun Khosravi Golmetabadi ¹ , ali asghar taherabadi ² , عطاالله محمدی ملقرانی ³ , Ahmad Ali Jadidiyan ⁴

1 - Azad University of Sannandaj
2 - Assistant Prof., Department of Accounting, Kangavar Branch,Islamic Azad University, Kangavar, Iran.
3 - استادیار گروه حسابداری، دانشکده حسابداری، دانشگاه آزاد اسلامی سنندج، کردستان، ایران
4 - Assistant Prof, Department of Psychology, Kermanshah(kangavar) Branch, Islamic, Azad University, Kermanshah, Iran

Received: 2024-06-11 Accepted : 2024-11-27

Keywords: Reflexive Objects, Recursive Algorithms, Momentum,

Abstract :

The purpose of presenting a distribution model of sentimental bias functions with phenomenological algorithms related to objects reflected from main variables and based on structural equation structures. This research presents the simulation of dynamic algorithms related to sentimental biases in the framework of expected and non-expected impulses in the analysis of convergent herding behaviors of the presence of several general signals in the focus of the stock market. The main issue of the model based on the significance of discrete functions is the investors sentiment in the path analysis and the output circuits of recursive Fourier expansion algorithms (IDFT). Signal divergences can distinguish the cyclical movements of mass flow in the periods of exit from the stock market as one-way and two-way and integrate a structure of dynamic psychological games in the emotional patterns of investors in the simultaneous distribution of continuous and discrete probability functions. The findings of the model for the reflective objects of the sales volume of primary people in the period from the beginning of 2014 to the beginning of 2019 stock market indicate signal divergences from one-way and two-way rotational impulses in the dynamics of herding chains.

References:

1) Baker, M., Wurgler, J., (2007). Investor sentiment in the stock market. J. Econ. Prospect.21 (2), 129–152.
2) Banerjee, A.V., (1992). A Simple Model of Herd Behavior. the Quarterly Journal of Economics. 107, 797-817.
3) Barberis, N., Shleifer, A., Vishny, R., (1998). A model of investor sentiment. Journal of Financial Economics .49, 307-343.
4) Battigalli, P. Dufwenberg, M. (2008). Dynamic psychological games. Journal of Economic Theory144 (2009) 1–35.
5) Bikhchandani, Sushil, David Hirshleifer, and Ivo Welch (1992). “A Theory of Fads, Fashion,Custom and Cultural Change as Informational Cascades.” Journal of Political Economy, 100,992–1027.
6) Carhart, Mark M., (1995), Survivor bias and mutual fund performance, Working paper, School of Business Administration, University of Southern California, Los Angeles, Cal.
7) Christopher, Avery, and Zemsky, Peter, (1998), “Multidimensional Uncertainty and Herd Behavior in Financial Markets.” American Economic Review, 88(4), pp. 724 – 748.
8) Cormen, Thomas, H. (2001), “chapter 30: Polynomials and the FFT”. MIT Press and Mc Graw_ Hill,pp, 828-848
9) Fama, E. F., & French, K. R. (1992). The cross-section of expected stock returns. The Journal of Finance, 47(2),427–465.
10) Fama, E.F., French, K.R., (2012). Size, value, and momentum in international stock returns. Journal of Financial Economics .105, 457-472.
11) Geanakoplos.J, Pearce.D, Stacchetti.E, (1989) Psychological games and sequential rationality, Games Econ. Behave. 1(1989) 60–79.
12) Hulland, J. (1999). Use a partial least squares (PlS) in strategic management research: a review of four recent studies. Strategic management Journal, 20(2), 195-204.
13) Kahneman, Daniel. Amos, Tversky. (1979). Prospect theory: An analysis of decision under risk. Econometrica. 47(2), P. 263–291
14) LeNestour-Payzan, Pradier.E, L, and Putnins.T, (2021), Harnessing Neuroscientific Insights to Generate Alpha, Financial Analyst Journal. 26 (11), P.1500–1504
15) Modigliani, F., and R. Cohn. (1979). “Inflation, Rational Valuation and the Market.” Financial Analysts Journal, vol. 35, no. 2 (March/April):24–44.
16) Statman M. (2011). Investor sentiment, stock characteristics, and returns. Journal of Portfolio Management 37(3): 54-61.