Modeling the net flows of U.S. mutual funds with stochastic catastrophe theory
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Corresponding author: a email@example.com
Revised: 25 November 2005
Published online: 17 May 2006
Using the recent work of Hartelman, van der Maas, and Wagenmakers, we demonstrate the use of invariant stochastic catastrophe models in finance for modeling net flows (the difference between purchases and redemptions of fund shares) of U.S. mutual funds. We validate Goetzmann et al. and others' work concerning the importance of sentiment variables on stock fund flows. We also answer some of the questions Goetzmann et al. and Brown et al. pose at the end of their respective papers. We end with possible experiments for experimental economists and sociophysicists.
PACS: 89.65.Gh – Economics, econophysics, financial markets, business and management / 87.23.Ge – Dynamics of social systems / 05.10.-a – Computational methods in statistical physics and nonlinear dynamics
© EDP Sciences, Società Italiana di Fisica, Springer-Verlag, 2006