Modelling Information Flows in Financial Markets

DOI10.1142/9789811246494_0008zbMath1489.91248arXiv1004.4822OpenAlexW4214626620WikidataQ56813067 ScholiaQ56813067MaRDI QIDQ5072621

Andrea Macrina, Dorje C. Brody, Lane P. Hughston

Publication date: 29 April 2022

Published in: Financial Informatics, Advanced Mathematical Methods for Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1004.4822

zbMATH Keywords

signalstochastic volatilityBrownian bridgeprice formationinformation filterinformation-based asset pricingstatistical arbitragemarket noisecash-flow structure

Mathematics Subject Classification ID

Related Items (6)

Gaussian random bridges and a geometric model for information equilibrium ⋮ A default contagion model for pricing defaultable bonds from an information based perspective ⋮ Informational inefficiency in financial markets ⋮ MODULATED INFORMATION FLOWS IN FINANCIAL MARKETS ⋮ Pricing of Defaultable Bonds with Random Information Flow ⋮ ALGORITHMIC TRADING WITH LEARNING

This page was built for publication: Modelling Information Flows in Financial Markets