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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License
Acceso Restringido
id CESA2_9b5aefcc72ddebe8542b1ab06ce60b1c
oai_identifier_str oai:repository.cesa.edu.co:10726/5027
network_acronym_str CESA2
network_name_str Repositorio CESA
repository_id_str
spelling Contreras Eitner, Alfredo7e019652-f557-4bf1-b3ee-fd7e968e0700600Contreras Eitner, Alfredo [0000-0003-3041-3271]Contreras Eitner, Alfredo [58080792300]2023-06-21T22:22:56Z2023-06-21T22:22:56Z2023-031544-6123http://hdl.handle.net/10726/5027instname:Colegio de Estudios Superiores de Administración – CESAreponame:Biblioteca Digital – CESArepourl:https://repository.cesa.edu.co/1544-6131https://doi.org/10.1016/j.frl.2022.103516engElsevier Inc.Market microstructureMarket resilienceInsider tradingDynamic rational inattentionEntropy learningLearning specialists and market resiliencearticlehttp://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/coar/resource_type/c_6501info:eu-repo/semantics/articlehttp://purl.org/redcol/resource_type/ARThttp://purl.org/coar/version/c_71e4c1898caa6e32Acceso Restringidohttp://vocabularies.coar-repositories.org/access_rights/c_16ec/http://purl.org/coar/access_right/c_16ecIn 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 large orders in the market. Specifically, large orders can either be of structural origin, i.e., a disturbance in the asset’s payoff, or an exogenous one associated with noise trading. A specialist with a large learning capacity optimally chooses a pricing function where structural shocks display high persistence, whereas exogenous shocks disappear rapidly. This market structure provides a natural setup to address market resilience, in the sense of the recovery speed of prices.https://orcid.org/0000-0003-3041-3271https://www.scopus.com/authid/detail.uri?authorId=5808079230052Finance Research Letters10726/5027oai:repository.cesa.edu.co:10726/50272023-10-02 20:38:59.761metadata only accessBiblioteca Digital - CESAbiblioteca@cesa.edu.co
dc.title.eng.fl_str_mv Learning specialists and market resilience
title Learning specialists and market resilience
spellingShingle Learning specialists and market resilience
Market microstructure
Market resilience
Insider trading
Dynamic rational inattention
Entropy learning
title_short Learning specialists and market resilience
title_full Learning specialists and market resilience
title_fullStr Learning specialists and market resilience
title_full_unstemmed Learning specialists and market resilience
title_sort Learning specialists and market resilience
dc.creator.fl_str_mv Contreras Eitner, Alfredo
dc.contributor.author.spa.fl_str_mv Contreras Eitner, Alfredo
dc.contributor.orcid.none.fl_str_mv Contreras Eitner, Alfredo [0000-0003-3041-3271]
dc.contributor.scopus.none.fl_str_mv Contreras Eitner, Alfredo [58080792300]
dc.subject.none.fl_str_mv Market microstructure
Market resilience
Insider trading
Dynamic rational inattention
Entropy learning
topic Market microstructure
Market resilience
Insider trading
Dynamic rational inattention
Entropy learning
description 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 large orders in the market. Specifically, large orders can either be of structural origin, i.e., a disturbance in the asset’s payoff, or an exogenous one associated with noise trading. A specialist with a large learning capacity optimally chooses a pricing function where structural shocks display high persistence, whereas exogenous shocks disappear rapidly. This market structure provides a natural setup to address market resilience, in the sense of the recovery speed of prices.
publishDate 2023
dc.date.accessioned.none.fl_str_mv 2023-06-21T22:22:56Z
dc.date.available.none.fl_str_mv 2023-06-21T22:22:56Z
dc.date.issued.none.fl_str_mv 2023-03
dc.type.none.fl_str_mv article
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_6501
dc.type.coar.none.fl_str_mv http://purl.org/coar/resource_type/c_2df8fbb1
dc.type.driver.none.fl_str_mv info:eu-repo/semantics/article
dc.type.redcol.none.fl_str_mv http://purl.org/redcol/resource_type/ART
dc.type.coarversion.none.fl_str_mv http://purl.org/coar/version/c_71e4c1898caa6e32
format http://purl.org/coar/resource_type/c_2df8fbb1
dc.identifier.issn.none.fl_str_mv 1544-6123
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/10726/5027
dc.identifier.instname.none.fl_str_mv instname:Colegio de Estudios Superiores de Administración – CESA
dc.identifier.reponame.none.fl_str_mv reponame:Biblioteca Digital – CESA
dc.identifier.repourl.none.fl_str_mv repourl:https://repository.cesa.edu.co/
dc.identifier.eissn.none.fl_str_mv 1544-6131
dc.identifier.doi.none.fl_str_mv https://doi.org/10.1016/j.frl.2022.103516
identifier_str_mv 1544-6123
instname:Colegio de Estudios Superiores de Administración – CESA
reponame:Biblioteca Digital – CESA
repourl:https://repository.cesa.edu.co/
1544-6131
url http://hdl.handle.net/10726/5027
https://doi.org/10.1016/j.frl.2022.103516
dc.language.iso.none.fl_str_mv eng
language eng
dc.relation.citationvolume.none.fl_str_mv 52
dc.relation.ispartofjournal.none.fl_str_mv Finance Research Letters
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_16ec
dc.rights.local.none.fl_str_mv Acceso Restringido
dc.rights.coar.none.fl_str_mv http://vocabularies.coar-repositories.org/access_rights/c_16ec/
rights_invalid_str_mv Acceso Restringido
http://vocabularies.coar-repositories.org/access_rights/c_16ec/
http://purl.org/coar/access_right/c_16ec
dc.publisher.none.fl_str_mv Elsevier Inc.
publisher.none.fl_str_mv Elsevier Inc.
institution Colegio de Estudios Superiores de Administración
repository.name.fl_str_mv Biblioteca Digital - CESA
repository.mail.fl_str_mv biblioteca@cesa.edu.co
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