The Effect of Naïve Reinforcement Learning in the Stock Market

Some investors who are subjected to naïve reinforcement learning create a spread between a stock's fundamental value and its equilibrium price. Naïve learners are more likely to repurchase a stock previously sold for a gain than one sold for a loss. This causes predictable equilibrium prices. We propose a proxy for the effect of naïve learning and show the profitability of a long-short strategy based on our proxy

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Year of publication:	2019
Authors:	Park, Sunghoon
Other Persons:	Cho, Sungzoon (contributor)
Publisher:	[2019]: [S.l.] : SSRN
Subject:	Aktienmarkt \| Stock market \| Lernprozess \| Learning process \| Börsenkurs \| Share price \| Lernen \| Learning

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Extent:	1 Online-Ressource (23 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 1, 2015 erstellt
Classification:	g41 ; C51 - Model Construction and Estimation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012891368