FEATURES OF FORMING THE RATIONAL BEHAVIOR OF THE FINANCIAL MARKET PARTICIPANTS

Abstract

The main premise of the hypothesis of an efficient market is the assumption that the market participants behave rationally, which is, accordingly, the basis for the development of other theories, but in practice, it is much more difficult to apply when it comes to monitoring investors' behavior. It should be noted that, according to the theory, investors are characterized by homogeneity, and it is assumed that all market participants are guided by the rationality of using all the information received, having the same tools for assessing the current and future situation. From the assumption of the rationality of behavior, it follows from the need to recognize the assumption of the rationality of expectations (predictions), since participants in the financial market function rationally, therefore, they should also rationally predict the future.

Specification of the model of rational expectations of the subject corresponds to the principles of the process of specification of predictive models (predictions). Depending on the choice of the dependent variable (endogenous), the choice of independent (exogenous) variables is performed, as well as the nature of the model. In practice, very different models are often used simultaneously: from classical linear models with one-level or multi-level structure to complex multi-dimensional models of random variables. In the most general form among the explanatory variables one can distinguish: a dependent variable (endogenous) taken with a one-time time advance in predictive models; Dependent variable (endogenous) during different time periods in dynamic regression models; Exogenous variables affecting or correlated with a dependent variable, in structural causation models or symptomatic ones. The rational expectation hypothesis implies that all market participants are guided by rationality in their actions and capable of rational predictions based on the same amount of available information, using the same scheme of considerations or formal model, and, consequently, obtain the same result.

Consequently, the hypothesis of an efficient market over a long period of time was the dominant concept that explained the behavior of financial markets, shaped the relation to the possibility of forecasting financial markets and served as a methodological basis for the development of tools for forecasting in financial markets. However, current trends in the modification of financial markets functioning mechanisms have demonstrated accumulation of the critical level of systemic risk, under conditions of underestimation of moral risks by market participants, their high speculative activity and asymmetry of information, rationality of their behavior and expectations.