Rational quantitative trading in efficient markets

DOI10.1016/J.JET.2020.105127zbMATH Open1458.91206OpenAlexW3122285308MaRDI QIDQ1995286FDOQ1995286

Authors: Stefano Rossi, Katrin Tinn 

Publication date: 23 February 2021

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

Full work available at URL: https://doi.org/10.1016/j.jet.2020.105127

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zbMATH Keywords

learningmarket efficiencyquantitative tradinguncertainty about informed trading

Mathematics Subject Classification ID

Financial markets (91G15)

Cites Work

• Title not available (Why is that?)
• Log-concave probability and its applications
• Aggregation of Information in Large Cournot Markets
• Information acquisition and under-diversification
• Continuous Auctions and Insider Trading
• Information in Securities Markets: Kyle Meets Glosten and Milgrom
• Informed manipulation.
• Aggregating the single crossing property
• Title not available (Why is that?)
• Strict monotonicity in comparative statics
• Herding and Contrarian Behavior in Financial Markets
• Manipulation and the Allocational Role of Prices
• Risk aversion, imperfect competition, and long-lived information
• Competing on Speed
• The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response *

Cited In (2)

• Trading on marginal information
• A computational view of market efficiency

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