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Titolo:
STRATEGIC TRADING WHEN AGENTS FORECAST THE FORECASTS OF OTHERS
Autore:
FOSTER FD; VISWANATHAN S;
Indirizzi:
UNIV IOWA,COLL BUSINESS ADM IOWA CITY IA 52242 DUKE UNIV,FUQUA SCH BUSINESS DURHAM NC 27706
Titolo Testata:
The Journal of finance
fascicolo: 4, volume: 51, anno: 1996,
pagine: 1437 - 1478
SICI:
0022-1082(1996)51:4<1437:STWAFT>2.0.ZU;2-6
Fonte:
ISI
Lingua:
ENG
Soggetto:
IMPERFECT COMPETITION; PRIVATE INFORMATION; CONVERGENCE; VOLATILITY; VOLUME;
Tipo documento:
Article
Natura:
Periodico
Settore Disciplinare:
Physical, Chemical & Earth Sciences
Citazioni:
28
Recensione:
Indirizzi per estratti:
Citazione:
F.D. Foster e S. Viswanathan, "STRATEGIC TRADING WHEN AGENTS FORECAST THE FORECASTS OF OTHERS", The Journal of finance, 51(4), 1996, pp. 1437-1478

Abstract

We analyze a multi-period model of trading with differentially informed traders, liquidity traders, and a market maker. Each informed trader's initial information is a noisy estimate of the long-term value of the asset, and the different signals received by informed traders can have a variety of correlation structures. With this setup, informed traders not only compete with each other for trading profits, they also learn about other traders' signals from the observed order now, Our work suggests that the initial correlation among the informed traders' signals has a significant effect on the informed traders' profits and the informativeness of prices.

ASDD Area Sistemi Dipartimentali e Documentali, Università di Bologna, Catalogo delle riviste ed altri periodici
Documento generato il 30/03/20 alle ore 19:49:13