On the relation between private information and non-fundamental volatility

DOI10.1515/BEJTE-2021-0166MaRDI QIDQ6136272zbMATH OpenOpenAlexFDO

Authors Myungkyu Shim, Doyoung Song

Publication date 29 August 2023

Published in The B.E. Journal of Theoretical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/bejte-2021-0166

zbMATH Keywords

coordination gamefinancial pricesdispersed informationnon-fundamental volatility

Mathematics Subject Classification ID

Applications of game theory (91A80) Financial markets (91G15)

Recommendations

• Information and volatility
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Cites work

• Efficient Use of Information and Social�Value�of�Information
• Financial prices and information acquisition in large Cournot markets
• Public and private learning from prices, strategic substitutability and complementarity, and equilibrium multiplicity

Cited in

(2)

• ON THE RATE OF INFORMATION ABSORPTION IN THE CONDITIONAL VARIANCE OF SES DUAL LISTED STOCKS
• Information and volatility

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