Learning specialists and market resilience

In this paper, I address the stochastic behavior of asset prices set by an imperfectly informed specialist who uses learning technology to refine her knowledge of the order flow. The specialist’s endogenous choice of an information structure is analyzed which fully characterizes her responses to lar...

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Autores:
Contreras Eitner, Alfredo
Tipo de recurso:
Article of investigation
Fecha de publicación:
2023
Institución:
Colegio de Estudios Superiores de Administración
Repositorio:
Repositorio CESA
Idioma:
eng
OAI Identifier:
oai:repository.cesa.edu.co:10726/5027
Acceso en línea:
http://hdl.handle.net/10726/5027
https://doi.org/10.1016/j.frl.2022.103516
Palabra clave:
Market microstructure
Market resilience
Insider trading
Dynamic rational inattention
Entropy learning
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