Speculative dynamics

DOI10.1007/s00199-009-0456-yzbMath1231.91495OpenAlexW3192571676MaRDI QIDQ976762

J. Martínez

Publication date: 16 June 2010

Published in: Economic Theory (Search for Journal in Brave)

Full work available at URL: http://dro.dur.ac.uk/8530/1/8530.pdf

zbMATH Keywords

frequency domainspeculationforecasting-the-forecastsmarket microstructure financestationary linear equilibrium

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economics of information (91B44) Actuarial science and mathematical finance (91G99)

Related Items (9)

Inconspicuousness and obfuscation: how large shareholders dynamically manipulate output and information for trading purposes ⋮ Solving generalized multivariate linear rational expectations models ⋮ Speculative attacks with multiple targets ⋮ Forecasting the forecasts of others: implications for asset pricing ⋮ Signal-jamming in the frequency domain ⋮ Do fundamentals shape the price response? A critical assessment of linear impact models ⋮ The dynamics of strategic information flows in stock markets ⋮ Confounding dynamics ⋮ A stationary Kyle setup: microfounding propagator models

Cites Work

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• Kyle v. Kyle ('85 v. '89)
• The dynamics of strategic information flows in stock markets
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• Interpolation of rational matrix functions
• Optimal policy in a model of endogenous fluctuations and assets
• Factoring spectral matrices in linear-quadratic models
• Continuous Auctions and Insider Trading
• Informed Speculation with Imperfect Competition
• Rational Expectations in Stationary Linear Models
• Extension of Stokes series for flow in a circular boundary
• A Model of Intertemporal Asset Prices Under Asymmetric Information

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