THE ROLE OF THE INFORMATION FACTOR IN MODELING THE STABILITY OF THE FINANCIAL MARKET
R. R. Akhmetov
Kazan (Volga region) Federal University, Kazan, Russia
e-mail: Rust-AR@mail.ru
Abstract. The information function of the financial market plays a key role in the pricing of financial assets. As the importance of information rises, it becomes more expensive and its value begins to exceed the value of the market assets themselves. This gives grounds for including the information factor as a variable not only in the pricing model of financial assets, but also in the financial market as a whole. Information acts as an argument for a non-linear function of return, price and risk level. The stable functioning of the financial market today is of paramount importance for the global financial system and the development of national economies. Is the stock market secondary or does it affect real economic activity? The article touches upon the potential effects of financial markets, which follow from the informational role of market prices. It is shown that taking into account the feedback effect from market prices to the real economy significantly changes our understanding of the pricing process, information content of prices and trading behavior of speculators.
The paper considers linear martingale and nonlinear conditionally Gaussian models. In practice, they are not enough to reflect the asymmetric effects of external influences (exogenous factors). For this reason, it is proposed to use fractal Brownian models along with them. At the same time, one should take into account the degree of information content of the price itself, the reflexivity of price information, i.e. the ability of prices to form market expectations and the psychological factor leading to non-linearity and dynamic chaos.
Key words: information, financial market, financial asset, efficient market, random walk, non-linear model, financial stability.
Cite as: Akhmetov, R. R. (2023) [The role of the information factor in modeling the stability of the finan¬cial market]. Intellekt. Innovacii. Investicii [Intellect. Innovations. Investments]. Vol. 2, pp. 11–18, https://doi.org/10.25198/2077-7175-2023-2-11.
