Bounded rationality, asymmetric information and mispricing in financial markets

DOI10.1007/S00199-021-01366-5MaRDI QIDQ2168545zbMATH OpenOpenAlexFDO

Authors Qingbin Gong, Xun-Di Diao

Publication date 31 August 2022

Published in Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00199-021-01366-5

zbMATH Keywords

stabilityheterogeneous agentsasymmetric informationbounded rationalitymispricing

Mathematics Subject Classification ID

Financial markets (91G15) Interest rates, asset pricing, etc. (stochastic models) (91G30) Heterogeneous agent models (91B69)

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Cites work

• scientific article; zbMATH DE number 2171469 (Why is no real title available?)
• A Rational Route to Randomness
• A dynamic analysis of moving average rules
• An analysis of the effect of noise in a heterogeneous agent financial market model
• An evolutionary finance model with short selling and endogenous asset supply
• Asymmetric information and survival in financial markets
• Belief heterogeneity and survival in incomplete markets
• Bounded rationality in laboratory bargaining with asymmetric information
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• More hedging instruments may destabilize markets
• Naive traders and mispricing in prediction markets
• Overconfidence and market efficiency with heterogeneous agents
• Shareholder heterogeneity, asymmetric information, and the equilibrium manager
• Signal extraction: experimental evidence
• Underreaction to fundamental information and asymmetry in mispricing between bullish and bearish markets. An experimental study

Cited in

(8)

• Time resolution of risk and asymmetric information: An application to financial market
• Mispricing: failure to capture the risk preferences dependent on market states
• The impacts of investor network and herd behavior on market stability: social learning, network structure, and heterogeneity
• Informational differences and learning in an asset market with boundedly rational agents
• Informational asymmetries and a multiplier effect on price correlation and trading
• Turning the heat on financial decisions: examining the role temperature plays in the incidence of bias in a time-limited financial market
• A research on market manipulation and stock price volatility based on heterogeneous beliefs
• On the uniqueness of quantal response equilibria and its application to network games

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