INFORMATION DYNAMICS IN FINANCIAL MARKETS

DOI10.1017/S1365100500015017MaRDI QIDQ4519545zbMATH OpenOpenAlexFDO

Authors P. de Fontnouvelle

Publication date 3 December 2000

Published in Macroeconomic Dynamics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s1365100500015017

zbMATH Keywords

asymmetric informationnoisy rational expectationstrading volume

Mathematics Subject Classification ID

Economics of information (91B44) Economic time series analysis (91B84)

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Cited in

(22)

• The time cost of information in financial markets
• The speed of information revelation in a financial market mechanism
• Information driving force and its application in agent-based modeling
• Information and dynamic trading with the Gambler's fallacy
• Exploration costs as a means for improving performance in multiagent systems
• Bubbles and crashes: gradient dynamics in financial markets
• Estimating the intensity of choice in a dynamic mutual fund allocation decision
• Return dynamics when persistence is unobservable
• Structural attribution of observed volatility clustering
• Financial markets are markets in stories: some possible advantages of using interviews to supplement existing economic data sources
• On “Acquisition of Information in Financial Markets”
• Information Transmission Across Eurodollar Futures Markets
• Information processing and non-Bayesian learning in financial markets
• Information Acquisition in Financial Markets
• Information thermodynamics of financial markets: the Glosten–Milgrom model
• Trading, profits, and volatility in a dynamic information network model
• Financial fragility and scaling distributions in the laboratory
• Evolutionary dynamics in markets with many trader types
• Information linkages in a financial market with imperfect competition
• Strategic complementarity of information in financial markets with large shocks
• Market efficiency and learning in an endogenously unstable environment
• Self-organization and the persistence of noise in financial markets

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