Hierarchical information and the rate of information diffusion

DOI10.1016/J.JEDC.2012.03.001MaRDI QIDQ310930zbMATH OpenOpenAlexFDO

Authors Yi Xue, Ramazan Gençay

Publication date 28 September 2016

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL http://www.rcea.org/RePEc/pdf/wp29_09.pdf

zbMATH Keywords

information diffusion rateinformation hierarchiesmomentumprice discovery

Mathematics Subject Classification ID

Economics of information (91B44)

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Cites work

• An analysis of the effect of noise in a heterogeneous agent financial market model
• Asset prices, traders' behavior and market design
• Call market book information and efficiency
• Continuous Auctions and Insider Trading
• Evolutionary dynamics in markets with many trader types
• Forecasting the forecasts of others: implications for asset pricing
• Informational differences and learning in an asset market with boundedly rational agents
• Stochastic processes and filtering theory
• The market impact of a limit order

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