Neutrosophic information fusion applied to the options market

Khoshnevisan, Mohammad and Bhattacharya, Sukanto 2005, Neutrosophic information fusion applied to the options market, Investment management and financial innovations, vol. 1, pp. 139-145.

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Title Neutrosophic information fusion applied to the options market
Author(s) Khoshnevisan, Mohammad
Bhattacharya, Sukanto
Journal name Investment management and financial innovations
Volume number 1
Start page 139
End page 145
Publisher Dilovi Perspektyvy
Place of publication Sumy, Ukraine
Publication date 2005
ISSN 1810-4967
1812-9358
Keyword(s) efficient markets
mean reversion
implied volatility
cognitive dissonance
non-linear feedback
rule-based logic
Dempster's rule
neutrosophic probability
Summary In this paper we basically make two propositions - firstly a non-linear process that is primarily fuelled by mass cognitive dissonance could generate systematic deviations between the theoretical and market prices of long-term options, and secondly such deviations are best reconciled in terms of neutrosophic rather than ruled-based reasoning, especially in the context of the users of automated trading systems designed to generate trading signals based on analysis of information  from conflicting sources.
Language eng
Field of Research 150103 Financial Accounting
HERDC Research category C1.1 Refereed article in a scholarly journal
Copyright notice ©2005, Dilovi Perspektyvy
Persistent URL http://hdl.handle.net/10536/DRO/DU:30003014

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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