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Effect of Investors Inflow on Market Dynamics

Student: Andrei Khozhenetc

Supervisor: Dmitry Makarov

Faculty: International College of Economics and Finance

Educational Programme: Double degree programme in Economics of the NRU HSE and the University of London (Bachelor)

Year of Graduation: 2021

Irrationality is one of the most interesting fields in financial research. In recent years, a lot of inexperienced traders have entered the market, making it important to analyze impact of inflow on the market. In this paper, I analyze non-fundamental factors which affect price dynamics and improve upon models in previous literature. I use them to model a profitable portfolio, and analyze the impact of investor inflow. I find that more complex models outperform more classical ones, but do not find evidence that inflow affects market dynamics.

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