Speculative dynamics

DOI10.1007/S00199-009-0456-YzbMATH Open1231.91495OpenAlexW3192571676MaRDI QIDQ976762FDOQ976762

Authors: J. Martínez 

Publication date: 16 June 2010

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

Full work available at URL: http://dro.dur.ac.uk/8530/1/8530.pdf

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• Speculation and price fluctuations with private, extrinsic signals
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zbMATH Keywords

frequency domainspeculationforecasting-the-forecastsmarket microstructure financestationary linear equilibrium

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economics of information (91B44) Actuarial science and mathematical finance (91G99)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Continuous Auctions and Insider Trading
• Informed Speculation with Imperfect Competition
• A Model of Intertemporal Asset Prices Under Asymmetric Information
• Forecasting the forecasts of others: implications for asset pricing
• Interpolation of rational matrix functions
• Extension of Stokes series for flow in a circular boundary
• Rational Expectations in Stationary Linear Models
• Kyle v. Kyle ('85 v. '89)
• The dynamics of strategic information flows in stock markets
• Spectral utility, Wiener-Hopf techniques, and rational expectations
• Factoring spectral matrices in linear-quadratic models
• Optimal policy in a model of endogenous fluctuations and assets

Cited In (15)

• Speculative attacks with multiple targets
• Solving generalized multivariate linear rational expectations models
• Signal-jamming in the frequency domain
• Speculative securities
• Do fundamentals shape the price response? A critical assessment of linear impact models
• Optimal speculative trade among large traders
• Confounding dynamics
• Inconspicuousness and obfuscation: how large shareholders dynamically manipulate output and information for trading purposes
• A stationary Kyle setup: microfounding propagator models
• A STRATEGIC ANALYSIS OF SPECULATIVE TRADE IN A TWO-SIDED ASSET MARKET WITH INFORMATION DIVERSITY
• Forecasting the forecasts of others: implications for asset pricing
• Dynamic trading and asset prices: Keynes vs. Hayek
• Speculative overpricing in asset markets with information flows
• Front-running dynamics
• The dynamics of strategic information flows in stock markets

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