Information structure and equilibrium asset prices (Q759628): Difference between revisions
From MaRDI portal
Latest revision as of 15:21, 14 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Information structure and equilibrium asset prices |
scientific article |
Statements
Information structure and equilibrium asset prices (English)
0 references
1985
0 references
In a continuous trading economy, it is shown that if information is revealed continuously and if agents' preferences are continuous in a certain topology, then equilibrium asset price processes must have continuous sample paths. Except for uninteresting cases, the sample paths of price processes will be of unbounded variation. In particular, if the information is generated by a Brownian motion, then equilibrium asset price processes are Ito integrals. When information is not revealed continuously, the times (which may be random) at which prices can have jumps are identified.
0 references
information structure
0 references
continuous trading economy
0 references
equilibrium asset price processes
0 references
continuous sample paths
0 references
Brownian motion
0 references
Ito integrals
0 references
0 references
0 references
